Importance sampling for jump processes and applications to finance

Laetitia Badouraly Kassim, J\'er\^ome Lelong and Imane Loumrhari
Additional contact information
Laetitia Badouraly Kassim: LJK
J\'er\^ome Lelong: LJK
Imane Loumrhari: LJK

Papers from arXiv.org

Abstract: Adaptive importance sampling techniques are widely known for the Gaussian setting of Brownian driven diffusions. In this work, we want to extend them to jump processes. Our approach relies on a change of the jump intensity combined with the standard exponential tilting for the Brownian motion. The free parameters of our framework are optimized using sample average approximation techniques. We illustrate the efficiency of our method on the valuation of financial derivatives in several jump models.

Date: 2013-07
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/1307.2218 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1307.2218

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().