Simulating Lévy Processes from Their Characteristic Functions and Financial Applications

DOI10.1145/2331140.2331142zbMath1384.60081OpenAlexW3123817978MaRDI QIDQ4635193

Liming Feng, Xiong Lin, Zisheng Chen

Publication date: 16 April 2018

Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1145/2331140.2331142

zbMATH Keywords

Hilbert transformLévy processcontrol variatesrandomized quasi-Monte Carlo methodoptions pricinganalytic characteristic functioninverse transform method

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10)

Related Items (11)

An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options ⋮ A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation ⋮ A transform-based method for pricing Asian options under general two-dimensional models ⋮ Unbiased Simulation of Distributions with Explicitly Known Integral Transforms ⋮ A fast Monte Carlo scheme for additive processes and option pricing ⋮ Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps ⋮ Pricing discretely monitored Asian options under regime-switching and stochastic volatility models with jumps ⋮ Efficient simulation of Lévy-driven point processes ⋮ Shot noise, weak convergence and diffusion approximations ⋮ Exact simulation of Ornstein–Uhlenbeck tempered stable processes ⋮ Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations

This page was built for publication: Simulating Lévy Processes from Their Characteristic Functions and Financial Applications