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G. Leobacher

Stratified sampling and quasi-Monte Carlo simulation of Lévy processes

We provide a method for the generation of paths of Lévy 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.

Monte Carlo Methods and Applications, Walter de Gruyter

Print ISSN: 0929-9629
Volume: 12, 10/2006
Pages: 231 - 238

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