Efficient control variate methods with applications to exotic options pricing under subordinated Brownian motion models-Reference-Cited by-同舟云学术

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Efficient control variate methods with applications to exotic options pricing under subordinated Brownian motion models

Published:2019-01 Issue: Volume:47 Page:602-621
ISSN:1062-9408
Container-title:The North American Journal of Economics and Finance
language:en
Short-container-title:The North American Journal of Economics and Finance

Author:

Zhang Ling,Lai Yongzeng,Zhang Shuhua,Li Lin

Funder

NSERC

National Basic Research Program

National Natural Science Foundation of China

Philosophy and Social Science Programming Foundation of Guangzhou

Foundation for Young Scholars of Guangzhou

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference32 articles.

1. Lévy processes and stochastic calculus;Applebaum,2004

2. Stochastic simulation: Algorithms and analysis;Asmussen,2007

3. Lévy Processes;Bertoin,1998

4. Options using lattice rules;Boyle;North American Actuarial Journal,2005

5. Prices and sensitivities of Asian options: A survey;Boyle;Insurance: Mathematics and Economics,2008

Cited by 5 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Closed-form approximations for basket option pricing under normal tempered stable Lévy model;The North American Journal of Economics and Finance;2024-09

2. A Bilinear Pseudo-spectral Method for Solving Two-asset European and American Pricing Options;Computational Economics;2023-02-17

3. A general control variate method for time-changed Lévy processes: an application to options pricing;Journal of Computational Finance;2023

4. Opciones exóticas;Lecturas de Economía;2021-05-26

5. Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions;International Journal of Computer Mathematics;2019-01-16

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