Likelihood ratio gradient estimation for Meixner distribution and Lévy processes
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References listed on IDEAS
- 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.
- 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.
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- 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.
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KeywordsAcceptance-rejection sampling; Esscher density transform; Greeks; Lévy process; likelihood ratio method; Meixner distribution; Meixner process; Monte Carlo simulation;
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