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Simulation of jump diffusions and the pricing of options

We present importance sampling and acceptance-rejection simulation methods for one dimensional diffusions. This effectively reduces the computation of many path functionals of general diffusions to a similar computation for the Brownian bridge. We use this approach to efficiently obtain Monte Carlo prices of path-dependent derivative securities such as Barrier and Look-back options for a CEV jump-diffusion model.
Year of publication:
2008
Authors: DiCesare, Joe ; Mcleish, Don
Published in:
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 43.2008, 3, p. 316-326
Publisher: Elsevier
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005380550
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