Finance;
Option pricing;
Levy processes;
Monte Carlo simulation;
Control variate;
Numerical inversion;
MONTE CARLO METHOD;
COMPUTER METHODS;
ASIAN OPTIONS;
GAMMA;
D O I:
10.1016/j.ejor.2012.03.046
中图分类号:
C93 [管理学];
学科分类号:
12 ;
1201 ;
1202 ;
120202 ;
摘要:
We present a general control variate method for simulating path dependent options under Levy processes. It is based on fast numerical inversion of the cumulative distribution functions and exploits the strong correlation of the payoff of the original option and the payoff of a similar option under geometric Brownian motion. The method is applicable for all types of Levy processes for which the probability density function of the increments is available in closed form. Numerical experiments confirm that our method achieves considerable variance reduction for different options and Levy processes. We present the applications of our general approach for Asian, lookback and barrier options under variance gamma, normal inverse Gaussian, generalized hyperbolic and Meixner processes. (C) 2012 Elsevier B.V. All rights reserved.
机构:
Univ Paris Est, Lab Anal & Math Appliquees, UMR CNRS 8050, F-77454 Marne La Vallee, FranceUniv Paris Est, Lab Anal & Math Appliquees, UMR CNRS 8050, F-77454 Marne La Vallee, France
机构:
Auckland Univ Technol, Sch Engn Comp & Math Sci, Dept Math Sci, Auckland, New ZealandAuckland Univ Technol, Sch Engn Comp & Math Sci, Dept Math Sci, Auckland, New Zealand
Cao, Jiling
Ruan, Xinfeng
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机构:
Univ Otago, Otago Business Sch, Dept Accountancy & Finance, Dunedin 9054, New ZealandAuckland Univ Technol, Sch Engn Comp & Math Sci, Dept Math Sci, Auckland, New Zealand
Ruan, Xinfeng
Su, Shu
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机构:
Auckland Univ Technol, Sch Engn Comp & Math Sci, Dept Math Sci, Auckland, New ZealandAuckland Univ Technol, Sch Engn Comp & Math Sci, Dept Math Sci, Auckland, New Zealand
Su, Shu
Zhang, Wenjun
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机构:
Auckland Univ Technol, Sch Engn Comp & Math Sci, Dept Math Sci, Auckland, New ZealandAuckland Univ Technol, Sch Engn Comp & Math Sci, Dept Math Sci, Auckland, New Zealand
机构:
Tianjin Univ Finance & Econ, Res Ctr Math & Econ, Tianjin, Peoples R ChinaTianjin Univ Finance & Econ, Res Ctr Math & Econ, Tianjin, Peoples R China
Zhang, Suhua
A, Chunxiang
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机构:
Zhaoqing Univ, Sch Math & Stat, Zhaoqing, Guangdong, Peoples R ChinaTianjin Univ Finance & Econ, Res Ctr Math & Econ, Tianjin, Peoples R China
A, Chunxiang
Lai, Yongzeng
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机构:
Wilfrid Laurier Univ, Dept Math, Waterloo, ON N2L 3C5, CanadaTianjin Univ Finance & Econ, Res Ctr Math & Econ, Tianjin, Peoples R China