Dimension Reduction for Pricing Options Under Multidimensional Lévy Processes

Author:

Imai Junichi

Publisher

Springer Science and Business Media LLC

Subject

Finance

Reference56 articles.

1. Abramowitz, M., & Stegun, I. A. (1968). Handbook of mathematical functions. New York: Dover.

2. Acworth, P., Broadie, M., & Glasserman, M. (1996). A comparison of some monte carlo and quasi-Monte Carlo methods for option pricing. In H. Niederreiter (Ed.), Monte and quasi-Monte Carlo methods 1996: Proceedings of a conference at the University of Salzburg, volume 127 of Lecture Notes in Statistics. Berlin: Springer.

3. Albrecher, H., & Predota, M. (2004). On asian option pricing for nig lévy processes. Journal of Computational and Applied Mathematics, 172, 153–168.

4. Avramidis, A. N. (2004). Efficient pricing of barrier options with the variance-gamma model. In: Ingalls, R. G., Rossetti, M. D., Smith, J. S., & Peters, B. A. (eds.) Proceedings of the 2004 winter simulation conference.

5. Avramidis, A. N., & L’Ecuyer, P. (2006). Efficient monte carlo and quasi-Monte Carlo option prcing under the variance gamma model. Management Science, 52(12), 1930–1944.

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