Pricing of Some Exotic Options with NIG-Lévy Input
نویسندگان
چکیده
We study the problem of pricing barrier options and Russian options driven by exponential NIG Lévy processes by simulation. Simulating at a discrete grid creates a systematic bias because the minimum and maximum in between grid points is neglected. The proposed solution is to simulate the large jumps only and use a Brownian approximation for the rest combined with explicit formulas for Brownian minima and maxima.
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