Details

Autor(en) / Beteiligte

• Belomestny, Denis
• Chen, Nan
• Wang, Yiwei

Titel

Unbiased Simulation of Distributions with Explicitly Known Integral Transforms

Ist Teil von

• Monte Carlo and Quasi-Monte Carlo Methods, p.229-244

Ort / Verlag

Cham: Springer International Publishing

Link zum Volltext

Quelle

Alma/SFX Local Collection

Beschreibungen/Notizen

• In this paper, we proposeBelomestny, Denis an importance-samplingChen, Nan based methodWang, Yiwei to obtain unbiased estimators to evaluate expectations involving random variables whose probability density functions are unknown while their Fourier transforms have explicit forms. We give a general principle about how to choose appropriate importance sampling density under various Lévy processes. Compared with the existing methods, our method avoids time-consuming numerical Fourier inversion and can be applied effectively to high dimensional option pricing under different models.