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Items for "Esscher transform"

Arithmetic average options in the hyperbolic model

In this paper, we present a strategy for pricing discrete Asian options, i.e. for options whose payoff depends on the average price of the underlying asset where the average is extended over a fixed period up to the maturity date...

Keywords: Asian option, hyperbolic distribution, Quasi-Monte Carlo methods, Esscher transform

09/2003 | Monte Carlo Methods and Applications, Walter de Gruyter
An importance sampling method based on the density transformation of Lévy processes

In this paper, we develop an importance sampling method with the help of flexible control on the Lévy measure in the density transformation...

Keywords: CGMY process, Esscher transform, Gamma process, Meixner process, Monte Carlo simulations, series representation, subordination, variance reduction

04/2006 | Monte Carlo Methods and Applications, Walter de Gruyter