Arithmetic average options in the hyperbolic model

DOI10.1163/156939603322728996zbMath1061.91030OpenAlexW4230592007MaRDI QIDQ4462529

Robert F. Tichy, Martin Predota, Gerhard Larcher

Publication date: 18 May 2004

Full work available at URL: https://doi.org/10.1163/156939603322728996

zbMATH Keywords

Esscher transformQuasi-Monte Carlo methodshyperbolic distributionAsian Option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) General theory of stochastic processes (60G07)

Related Items (1)

A general control variate method for option pricing under Lévy processes

Cites Work

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• Bounds for the weighted \(L^p\) discrepancy and tractability of integration
• Sequences, discrepancies and applications
• Hyperbolic distributions in finance
• Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options
• Infinite divisibility of the hyperbolic and generalized inverse Gaussian distributions

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