Simulation of Lévy processes and option pricing
Résumé
We approximate a Levy process by either truncating its small jumps or replacing them by a Brownian motion with the same variance. Then we derive the errors resulting from these approximations for some exotic options (Asian, barrier, lookback and American). We also propose a simple method to evaluate these options using the approximated Levy process.
Domaines
Probabilités [math.PR]
Origine : Fichiers produits par l'(les) auteur(s)
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