An Accelerating Quasi-Monte Carlo Method for Option Pricing Under the Generalized Hyperbolic Lévy Process

DOI10.1137/080727713zbMath1189.91207OpenAlexW2064122116MaRDI QIDQ3567028

Junichi Imai, Ken Seng Tan

Publication date: 10 June 2010

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/080727713

zbMATH Keywords

option pricingquasi-Monte Carloeffective dimensiongeneralized hyperbolic Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical integration (65D30)

Related Items (9)

Dimension reduction for pricing options under multidimensional Lévy processes ⋮ On Monte Carlo and Quasi-Monte Carlo Methods for Series Representation of Infinitely Divisible Laws ⋮ A Global Adaptive Quasi-Monte Carlo Algorithm for Functions of Low Truncation Dimension Applied to Problems from Finance ⋮ How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance? ⋮ Generating generalized inverse Gaussian random variates by fast inversion ⋮ Inverse Gaussian quadrature and finite normal-mixture approximation of the generalized hyperbolic distribution ⋮ Numerical inverse Lévy measure method for infinite shot noise series representation ⋮ Comparison of low discrepancy mesh methods for pricing Bermudan options under a Lévy process ⋮ A general control variate method for option pricing under Lévy processes

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