| Title | Pricing of some exotic options with NIG-Levy input |
| Authors | Sebastian Rasmus, S Asmussen, Magnus Wiktorsson |
| Alternative Location | http://dx.doi.org/10.1007/b..., Restricted Access |
| Publication | Computational Science - ICCS 2004. Proceedings Part IV. (Lecture Notes in Computer Science) |
| Year | 2004 |
| Volume | 3039 |
| Pages | 795 - 802 |
| Document type | Conference paper |
| Conference name | 4th International Conference |
| Conference Date | June 6-9, 2004 |
| Conference Location | Kraków, Poland |
| Status | Published |
| Quality controlled | Yes |
| Language | eng |
| Publisher | Springer Berlin / Heidelberg |
| Abstract English | 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. |
| ISBN/ISSN/Other | ISSN: 0302-9743 ISBN: 978-3-540-22129-6 |
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