NEARLY EXACT OPTION PRICE SIMULATION USING CHARACTERISTIC FUNCTIONS
2012 ◽
Vol 15
(07)
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pp. 1250047
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Keyword(s):
This paper presents a new approach to perform a nearly unbiased simulation using inversion of the characteristic function. As an application we are able to give unbiased estimates of the price of forward starting options in the Heston model and of continuously monitored Parisian options in the Black-Scholes framework. This method of simulation can be applied to problems for which the characteristic functions are easily evaluated but the corresponding probability density functions are complicated.
1984 ◽
Vol 106
(1)
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pp. 5-10
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1996 ◽
Vol 40
(3)
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pp. 577-581
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2004 ◽
Vol 19
(2)
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pp. 724-734
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2004 ◽
Vol 84
(12)
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pp. 2287-2296
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1973 ◽
Vol 27
(123)
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pp. 495-495
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