Name
Abstract | ||
|---|---|---|
Discretization schemes converge slowly when simulating extreme values for stochastic differential equations. Using a Wiener measure decomposition approach, this paper constructs an unbiased estimator for pricing extreme-value-related derivatives, such as barrier and lookback options, under a diffusion market model. A strong condition on the coefficients is needed in the derivation of the estimator. We also propose a truncation technique to remove this requirement and show that the truncation error decays exponentially. The numerical experiments reveal that this estimator is accurate and efficient. |
Year | DOI | Venue |
|---|---|---|
2009 | 10.1109/WSC.2009.5429559 | Winter Simulation Conference |
Keywords | Field | DocType |
discretization scheme,numerical experiment,wiener measure theoretic approach,extreme-value-related derivative,stochastic processes,discretization schemes,diffusion market model,truncation technique,stochastic differential equations,truncation error decays exponentially,wiener measure decomposition approach,pricing extreme value related derivatives,truncation error,unbiased estimator,differential equations,simulating extreme value,pricing,lookback option,yttrium,monte carlo methods,stochastic differential equation,extreme value,modeling | Minimum-variance unbiased estimator,Truncation error,Discretization,Applied mathematics,Truncation,Mathematical optimization,Stein's unbiased risk estimate,Simulation,Stochastic differential equation,Bias of an estimator,Mathematics,Estimator | Conference |
ISSN | ISBN | Citations |
0891-7736 | 978-1-4244-5770-0 | 1 |
PageRank | References | Authors |
0.37 | 2 | 2 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Nan Chen | 1 | 28 | 4.88 |
| Zhengyu Huang | 2 | 16 | 5.03 |