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Title: An importance sampling method based on the density transformation of Lévy processes
Authors: Kawai, Reiichiro
First Published: 2006
Publisher: Brill Academic Publishers
Citation: Monte Carlo Methods and Applications, 2006, 12 (2), pp. 171-186.
Abstract: 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.
DOI Link: 10.1515/156939606777488833
ISSN: 0929-9629
Type: Article
Rights: This is the author's final draft of the paper published as Monte Carlo Methods and Applications, 2006, 12 (2), pp. 171-186. The final version is available from Doi: 10.1515/156939606777488833
Appears in Collections:Published Articles, Dept. of Mathematics

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