… a new control variate method combined with a characteristic function approach for pricing
path-dependent options under … a new control variate method for time-changed Lévy models. In …

… We discuss very efficient control variate methods for option pricing … the pricing of three kind
of exotic options: fixed and floating strike lookback options, as well as barrier options under …

… We remark that most of the papers on variance reduction methods for the basket, spread,
and average options pricing consider a geometric weighted average value as the …

… Liu and Deng [27] noted that option prices under exponential Levy conditions can be … [28]
applied general control variable methods to option pricing problems under Levy conditions. …

… Lévy processes and use the Fourier cosine expansion (COS) method to price several options
under … The extension of the COS method to price under the regime-switching model is not …

… in a control variate procedure which allows to obtain highly accurate price estimates with
low standard errors. In particular, we use discretely monitored geometric Asian options and the …

… biased and multivariate control variate methods to some exotic option pricing problems with
… asset prices. For both arithmetic Asian and basket options, control variates conditional on …

… In Chapter 4, we provide a short introduction to Lévy processes. The next chapter considers
… of option pricing theory into a pseudoparabolic equation. Chapter 6 modifies this approach …

… The general basket option pricing formula is introduced in Section 3, where we … methods
for pricing spread options under the Gaussian assumption to the Normal Tempered Stable Lévy …

… and with general Lévy dynamics. This paper develops a general methodology for pricing
early … and exotic financial options by extending the recently developed PROJ method. We are …