Stratified sampling and quasi-Monte Carlo simulation of Lévy processes

Leobacher G. ()
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Leobacher G.: E-mail: gunther.leobacher@jku.at

Monte Carlo Methods and Applications, 2006, vol. 12, issue 3, 231-238

Abstract: 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.

Date: 2006
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Citations: View citations in EconPapers (2)

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DOI: 10.1515/156939606778705155

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