A general control variate method for option pricing under Lévy processes
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Shiraya, Kenichiro & Takahashi, Akihiko, 2017. "A general control variate method for multi-dimensional SDEs: An application to multi-asset options under local stochastic volatility with jumps models in finance," European Journal of Operational Research, Elsevier, vol. 258(1), pages 358-371.
- Xiao, Shuang & Ma, Shihua, 2016. "Pricing discrete double barrier options under Lévy processes: An extension of the method by Milev and Tagliani," Finance Research Letters, Elsevier, vol. 19(C), pages 67-74.
- Truong, Chi & Trück, Stefan, 2016. "It’s not now or never: Implications of investment timing and risk aversion on climate adaptation to extreme events," European Journal of Operational Research, Elsevier, vol. 253(3), pages 856-868.
- Fusai, Gianluca & Germano, Guido & Marazzina, Daniele, 2016. "Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options," European Journal of Operational Research, Elsevier, vol. 251(1), pages 124-134.
- Fusai, Gianluca & Germano, Guido & Marazzina, Daniele, 2016. "Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options," LSE Research Online Documents on Economics 67564, London School of Economics and Political Science, LSE Library.
- Wang, Chuan-Ju & Kao, Ming-Yang, 2016. "Optimal search for parameters in Monte Carlo simulation for derivative pricing," European Journal of Operational Research, Elsevier, vol. 249(2), pages 683-690.
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KeywordsFinance; Option pricing; Lévy processes; Monte Carlo simulation; Control variate; Numerical inversion;
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