Quasi-Monte Carlo methods for the Kou model

DOI10.1515/MCMA.2008.012zbMath1151.91476OpenAlexW1974921348MaRDI QIDQ5502856

Jan Baldeaux

Publication date: 9 January 2009

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma.2008.012

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05)

Related Items (2)

Backward simulation methods for pricing American options under the CIR process ⋮ Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting

Cites Work

• A Jump-Diffusion Model for Option Pricing
• The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration
• Approximations of small jumps of Lévy processes with a view towards simulation
• Efficient Monte Carlo and Quasi–Monte Carlo Option Pricing Under the Variance Gamma Model
• Stratified sampling and quasi-Monte Carlo simulation of Lévy processes
• Simulation methods for valuing Asian option prices in a hyperbolic asset price model

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