Applications of Simulation Methods to Barrier Options Driven by Lévy Processes
نویسندگان
چکیده
In this paper, we apply a mixed Monte Carlo and Quasi-Monte Carlo method, which we proposed in a previous paper, to problems from mathematical finance. We estimate by simulation the Up-and-Out barrier options and Double Knock-Out barrier options. We assume that the stock price of the underlaying asset S = S(t) is driven by a Lévy process L(t). We compare our estimates with the estimates obtained by using the Monte Carlo and Quasi-Monte Carlo methods. Numerical results show that an important improvement can be achieved by using the mixed method. 2000 Mathematics Subject Classification: 91B24, 91B28, 65C05, 11K45, 11K36, 62P05.
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تاریخ انتشار 2010