Stratified sampling and quasi-Monte Carlo simulation of Levy processes

Gunther Leobacher

doi:10.1515/156939606778705155

Stratified sampling and quasi-Monte Carlo simulation of Levy processes

Gunther Leobacher

Institute of Financial Mathematics and Applied Number Theory

Research output: Contribution to journal › Article › peer-review

Abstract

We provide a method for the generation of paths of Levy 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.

Original language	English
Pages (from-to)	231-238
Number of pages	7
Journal	Monte Carlo Methods and Applications
Volume	12
Issue number	3-4
DOIs	https://doi.org/10.1515/156939606778705155
Publication status	Published - 2006

Fields of science

101 Mathematics
101007 Financial mathematics
101019 Stochastics
101025 Number theory

Access to Document

10.1515/156939606778705155

Cite this

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AB - We provide a method for the generation of paths of Levy 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.

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