Adaptive Monte Carlo Variance Reduction for Lévy Processes with Two-Time-Scale Stochastic Approximation
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DOI: 10.1007/s11009-007-9043-5
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- Dilip B. Madan & Peter P. Carr & Eric C. Chang, 1998. "The Variance Gamma Process and Option Pricing," Review of Finance, European Finance Association, vol. 2(1), pages 79-105.
- Kallsen, Jan & Tankov, Peter, 2006. "Characterization of dependence of multidimensional Lévy processes using Lévy copulas," Journal of Multivariate Analysis, Elsevier, vol. 97(7), pages 1551-1572, August.
- Paul Glasserman & Philip Heidelberger & Perwez Shahabuddin, 1999. "Asymptotically Optimal Importance Sampling and Stratification for Pricing Path‐Dependent Options," Mathematical Finance, Wiley Blackwell, vol. 9(2), pages 117-152, April.
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- Youngjun Choe & Henry Lam & Eunshin Byon, 2018. "Uncertainty Quantification of Stochastic Simulation for Black-box Computer Experiments," Methodology and Computing in Applied Probability, Springer, vol. 20(4), pages 1155-1172, December.
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Keywords
Esscher transform; Gamma distribution and process; Girsanov theorem; Monte Carlo simulation; Infinitely divisible distribution; Stochastic approximation; Variance reduction;All these keywords.
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