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Pricing of some exotic options with NIG-Levy input

Rasmus, Sebastian LU ; Asmussen, S and Wiktorsson, Magnus LU (2004) 4th International Conference In Computational Science - ICCS 2004. Proceedings Part IV. (Lecture Notes in Computer Science) 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.
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author
organization
publishing date
type
Chapter in Book/Report/Conference proceeding
publication status
published
subject
in
Computational Science - ICCS 2004. Proceedings Part IV. (Lecture Notes in Computer Science)
volume
3039
pages
795 - 802
publisher
Springer
conference name
4th International Conference
external identifiers
  • wos:000223079700103
  • scopus:28044445852
ISSN
1611-3349
0302-9743
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
2007-10-30 15:38:49
date last changed
2017-02-08 13:46:50
@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         = {1611-3349},
  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},
  volume       = {3039},
  year         = {2004},
}