Comment on ‘Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes’ by C. Ribeiro and N. Webber

DOI10.1080/13504860903137538zbMath1229.91333OpenAlexW2093236057MaRDI QIDQ3565102

Martin Becker

Publication date: 27 May 2010

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860903137538

zbMATH Keywords

barrier optionsbridge Monte Carlo methodssimulation biasNIG processVG process

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Optimal search for parameters in Monte Carlo simulation for derivative pricing ⋮ Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias

Uses Software

• R

Cites Work

• Efficient Monte Carlo and Quasi–Monte Carlo Option Pricing Under the Variance Gamma Model
• Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes

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