Importance sampling and statistical Romberg method for Lévy processes

Stochastic Processes and their Applications ◽

10.1016/j.spa.2015.12.008 ◽

2016 ◽

Vol 126 (7) ◽

pp. 1901-1931 ◽

Author(s):

Mohamed Ben Alaya ◽

Kaouther Hajji ◽

Ahmed Kebaier

Keyword(s):

Importance Sampling ◽

Lévy Processes ◽

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Optimal importance sampling for simulation of Lévy processes

2015 Winter Simulation Conference (WSC) ◽

10.1109/wsc.2015.7408538 ◽

2015 ◽

Author(s):

Guangxin Jiang ◽

Michael C. Fu ◽

Chenglong Xu

Keyword(s):

Importance Sampling ◽

Lévy Processes ◽

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An importance sampling method based on the density transformation of Lévy processes

Monte Carlo Methods and Applications ◽

10.1515/156939606777488833 ◽

2006 ◽

Vol 12 (2) ◽

Author(s):

Reiichiro Kawai

Keyword(s):

Importance Sampling ◽

Lévy Processes ◽

Sampling Method ◽

Levy Processes ◽

Importance Sampling Method

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Optimal Importance Sampling Parameter Search for Lévy Processes via Stochastic Approximation

SIAM Journal on Numerical Analysis ◽

10.1137/070680564 ◽

2009 ◽

Vol 47 (1) ◽

pp. 293-307 ◽

Author(s):

Reiichiro Kawai

Keyword(s):

Importance Sampling ◽

Stochastic Approximation ◽

Lévy Processes ◽

Levy Processes ◽

Parameter Search ◽

Sampling Parameter

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Optimal importance sampling for Lévy processes

Stochastic Processes and their Applications ◽

10.1016/j.spa.2018.12.019 ◽

2020 ◽

Vol 130 (1) ◽

pp. 20-46 ◽

Author(s):

Adrien Genin ◽

Peter Tankov

Keyword(s):

Importance Sampling ◽

Lévy Processes ◽

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On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes

Operations Research Letters ◽

10.1016/j.orl.2015.11.004 ◽

2016 ◽

Vol 44 (1) ◽

pp. 44-49 ◽

Author(s):

Guangxin Jiang ◽

Chenglong Xu ◽

Michael C. Fu

Keyword(s):

Approximation Algorithms ◽

Importance Sampling ◽

Lévy Processes ◽

Sample Average Approximation ◽

Levy Processes ◽

Financial Derivatives ◽

Sample Average ◽

Average Approximation

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Lévy Processes and Stochastic Calculus

10.1017/cbo9780511755323 ◽

2004 ◽

Author(s):

David Applebaum

Keyword(s):

Lévy Processes ◽

Levy Processes ◽

Stochastic Calculus

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On correlating Lévy processes

The Journal of Risk ◽

10.21314/jor.2010.219 ◽

2010 ◽

Vol 13 (1) ◽

pp. 3-16 ◽

Author(s):

Ernst Eberlein ◽

Dilip Madan

Keyword(s):

Lévy Processes ◽

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Fast Pricing and Calculation of Sensitivities of OTM European Options Under Levy Processes

SSRN Electronic Journal ◽

10.2139/ssrn.1589809 ◽

2010 ◽

Author(s):

Sergei Z. Levendorskii ◽

Jiayao Xie

Keyword(s):

Lévy Processes ◽

Levy Processes ◽

European Options

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Perpetual Put-Like and Call-Like American Options under Levy Processes, and Incremental Capital Expansion

SSRN Electronic Journal ◽

10.2139/ssrn.510423 ◽

2004 ◽

Author(s):

Svetlana I. Boyarchenko ◽

Sergei Z. Levendorskii

Keyword(s):

Lévy Processes ◽

American Options ◽

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On scale functions for Lévy processes with negative phase-type jumps

Queueing Systems ◽

10.1007/s11134-021-09696-w ◽

2021 ◽

Author(s):

Jevgenijs Ivanovs

Keyword(s):

Lévy Processes ◽

Levy Processes ◽

Negative Phase ◽

Scale Functions ◽

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