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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 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:
author
; and
organization
publishing date
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
2024-01-07 13:37:49
@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}},
}