A Generalized Linear Transformation Method for Simulating Meixner Levy Processes
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Bibliographic record
Abstract
Abstract—In this paper, we consider an enhanced quasi-Monte Carlo (QMC) method for pricing derivative securities when the underlying asset price follows an exponential Lévy process. In particular, we focus on a special family of the Lévy process known as the Meixner process. The enhanced QMC is based on a generalization of the linear transformation (LT) method of Imai and Tan (2006). The generalized LT method can be used to simulate general stochastic processes and hence has a wider range of application than the original LT which only applies to the Gaussian process. Using some option examples with dimensions ranging from 4 to 250 as test cases, the numerical results suggest that the generalized LT-based QMC substantially outperforms the standard applications of quasi-Monte Carlo and Monte Carlo methods. Keywords: Quasi-Monte Carlo, computational finance, derivative securities, dimension reduction
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Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.001 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.000 | 0.000 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.000 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
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