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An importance sampling method based on the density transformation of Lévy processes

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journal contribution
posted on 16.09.2009, 15:15 by Reiichiro Kawai
In this paper, we develop an importance sampling method with the help of flexible control on the Lévy measure in the density transformation. The method has significant efficacy even on evaluating random variables with complex path-dependent structures. Numerical examples are presented to illustrate convergence acceleration through variance reduction with a view towards financial derivatives pricing.

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Citation

Monte Carlo Methods and Applications, 2006, 12 (2), pp. 171-186.

Published in

Monte Carlo Methods and Applications

Publisher

Brill Academic Publishers

issn

0929-9629

Copyright date

2006

Available date

16/09/2009

Publisher version

http://www.degruyter.com/view/j/mcma.2006.12.issue-2/156939606777488833/156939606777488833.xml

Language

en

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