The main purpose of this paper is to derive unbiased Monte Carlo estimators of various sensitivity indices for an averaged asset price dynamics governed by the gamma Lévy process. The key idea is to apply a scaling property of the gamma process with respect to the Esscher density transform...

Monte Carlo methods are widely-used simulation tools for market practitioners from trading to risk management. When pricing complex instruments, like mortgage-backed securities (MBS), strong path-dependency and high dimensionality make the Monte Carlo method the most suitable, if not the only,...

We consider several market models, where time is subordinated to a stochastic process. These models are based on various time changes in the Lévy processes driving asset returns, or on fractional extensions of the diffusion equation; they were introduced to capture complex phenomena such as...

We study the long-term economic legacy of highly-skilled minorities a century after their wholesale expulsion. Using mass expulsions of Armenian and Greek communities of the Ottoman Empire in the early 20th century as a unique natural experiment of history, we show that districts with greater...

Barbara Bergmann has advocated direct observation of market behavior by economists. There is a history of such activity in the area of labor market but that experimental work has mainly been conducted by noneconomists. We have followed the lead of these researchers and conducted audits of...

Assuming the underlying assets follow a Variance-Gamma (VG) process, we consider the problem of estimating gradients of a European call option by Monte Carlo simulation methods. In this paper, we compare indirect methods (finite difference techniques such as forward differences) and two direct...