Pricing of some exotic options with NIG-Levy input
(2004) 4th International Conference 3039. p.795-802- Abstract
- We study the problem of pricing barrier options and Russian options driven by exponential NIG Levy processes by simulation. Simulating at a discrete grid creates a systematic bias because the minimum and maximum in between grid points is neglected. The proposed solution is to simulate the large jumps only and use a Brownian approximation for the rest combined with explicit formulas for Brownian minima and maxima.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/270581
- author
- Rasmus, Sebastian LU ; Asmussen, S and Wiktorsson, Magnus LU
- organization
- publishing date
- 2004
- type
- Chapter in Book/Report/Conference proceeding
- publication status
- published
- subject
- host publication
- Computational Science - ICCS 2004. Proceedings Part IV. (Lecture Notes in Computer Science)
- volume
- 3039
- pages
- 795 - 802
- publisher
- Springer
- conference name
- 4th International Conference
- conference location
- Kraków, Poland
- conference dates
- 2004-06-06 - 2004-06-09
- external identifiers
-
- wos:000223079700103
- scopus:28044445852
- ISSN
- 0302-9743
- 1611-3349
- ISBN
- 978-3-540-22129-6
- DOI
- 10.1007/b98005
- language
- English
- LU publication?
- yes
- id
- 55315293-f292-4597-a35a-48e76dbb251f (old id 270581)
- date added to LUP
- 2016-04-01 11:36:19
- date last changed
- 2024-10-08 02:55:21
@inproceedings{55315293-f292-4597-a35a-48e76dbb251f, abstract = {{We study the problem of pricing barrier options and Russian options driven by exponential NIG Levy processes by simulation. Simulating at a discrete grid creates a systematic bias because the minimum and maximum in between grid points is neglected. The proposed solution is to simulate the large jumps only and use a Brownian approximation for the rest combined with explicit formulas for Brownian minima and maxima.}}, author = {{Rasmus, Sebastian and Asmussen, S and Wiktorsson, Magnus}}, booktitle = {{Computational Science - ICCS 2004. Proceedings Part IV. (Lecture Notes in Computer Science)}}, isbn = {{978-3-540-22129-6}}, issn = {{0302-9743}}, language = {{eng}}, pages = {{795--802}}, publisher = {{Springer}}, title = {{Pricing of some exotic options with NIG-Levy input}}, url = {{http://dx.doi.org/10.1007/b98005}}, doi = {{10.1007/b98005}}, volume = {{3039}}, year = {{2004}}, }