Gunther Leobacher,
"Stratified sampling and quasi-Monte Carlo simulation of Levy processes"
, in VSP, in Monte Carlo Methods and Applications, Vol. 12, Nummer 3-4, Seite(n) 231-238, 2006, ISSN: 0929-9629
Original Titel:
Stratified sampling and quasi-Monte Carlo simulation of Levy processes
Sprache des Titels:
Englisch
Original Kurzfassung:
We provide a method for the generation of
paths of Levy processes
which allows for more efficient simulation than crude step-by-step
generation.
We show how, using our method, one can apply stratified sampling and quasi-Monte Carlo
methods to obtain better numerical schemes analog to the Brownian case.
As a numerical example we consider the problem of pricing an asian option in the
so-called hyperbolic market model.
Forschungs-