Finite Element Based Monte Carlo Simulation of Options on Lévy Driven Assets

Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskrift

Abstract

This paper extends the simulation algorithm by Andreasen & Huge (2011) to the simulation of option prices and deltas on Lévy driven assets. The simulation is performed relying on the inverse transition matrix of the discretized PDE. Each row describes the evolution of option prices and can thus be seen as the underlying’s transition probability distribution. We demonstrate how one can get accurate prices and deltas of European options on VG and CGMY via Monte Carlo simulations.

Detaljer

Författare
  • Patrik Karlsson
Enheter & grupper
Externa organisationer
  • SEB Skandinaviska Enskilda Banken AB
Forskningsområden

Ämnesklassifikation (UKÄ) – OBLIGATORISK

  • Nationalekonomi

Nyckelord

Originalspråkengelska
Artikelnummer1850013
TidskriftInternational Journal of Financial Engineering
Volym05
Utgåva nummer01
StatusPublished - 2018
PublikationskategoriForskning
Peer review utfördJa