Journal title
Finance and Stochastics
DOI
10.1007/s00780-017-0341-7
Issue
4
Volume
21
Last updated
2024-04-11T23:24:53.21+01:00
Page
995-1026
Abstract
We apply the multilevel Monte Carlo method for option pricing problems using exponential Lévy models with a uniform timestep discretisation. For lookback and barrier options, we derive estimates of the convergence rate of the error introduced by the discrete monitoring of the running supremum of a broad class of Lévy processes. We then use these to obtain upper bounds on the multilevel Monte Carlo variance convergence rate for the Variance Gamma, NIG and a-stable processes. We also provide analysis of a trapezoidal approximation for Asian options. Our method is illustrated by numerical experiments.
Symplectic ID
697008
Submitted to ORA
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Publication type
Journal Article
Publication date
06 Sep 2017