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- W3169325623 abstract "We develop a variance reduction technique, based on importance sampling in conjunction with the stochastic Robbins–Monro algorithm, for option prices of jump–diffusion models with stochastic volatility. This is done by combining the work developed by Arouna for pricing diffusion models, and extended by Kawai for Levy processes without a Brownian component. We apply this technique to improve the numerical computation of derivative price sensitivities for general Levy processes, allowing both Brownian and jump parts. Numerical examples are performed for both the Black–Scholes and Heston models with jumps and for the Barndorff–Nielsen–Shephard model to illustrate the efficiency of this numerical technique. The numerical results support that the proposed methodology improves the efficiency of the usual Monte Carlo procedures." @default.
- W3169325623 created "2021-06-22" @default.
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- W3169325623 date "2018-05-25" @default.
- W3169325623 modified "2023-09-23" @default.
- W3169325623 title "Importance Sampling Applied to Greeks for Jump–Diffusion Models with Stochastic Volatility" @default.
- W3169325623 hasPublicationYear "2018" @default.
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