A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models

DOI10.1080/1350486X.2017.1358646zbMath1398.91669OpenAlexW2753618132MaRDI QIDQ4610213

Scott Sues, Duy Minh Dang, Kenneth R. Jackson

Publication date: 6 April 2018

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

Full work available at URL: https://doi.org/10.1080/1350486x.2017.1358646

zbMATH Keywords

dimension reductionfast Fourier transformvariance reductionnormaljump diffusionspartial integro-differential equationconditional Monte Carlodouble-exponential

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Integro-partial differential equations (35R09)

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