Likelihood ratio gradient estimation for Meixner distribution and Lévy processes
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Youssef El-Khatib & Nicolas Privault, 2004. "Computations of Greeks in a market with jumps via the Malliavin calculus," Finance and Stochastics, Springer, vol. 8(2), pages 161-179, May.
- Eric Fournié & Jean-Michel Lasry & Pierre-Louis Lions & Jérôme Lebuchoux & Nizar Touzi, 1999. "Applications of Malliavin calculus to Monte Carlo methods in finance," Finance and Stochastics, Springer, vol. 3(4), pages 391-412.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Dingeç, Kemal Dinçer & Hörmann, Wolfgang, 2012. "A general control variate method for option pricing under Lévy processes," European Journal of Operational Research, Elsevier, vol. 221(2), pages 368-377.
- D. J. Manuge, 2015. "L\'evy Processes For Finance: An Introduction In R," Papers 1503.03902, arXiv.org.
More about this item
KeywordsAcceptance-rejection sampling; Esscher density transform; Greeks; Lévy process; likelihood ratio method; Meixner distribution; Meixner process; Monte Carlo simulation;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:compst:v:27:y:2012:i:4:p:739-755. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Rebekah McClure). General contact details of provider: http://www.springer.com .