We describe general multilevel Monte Carlo methods that estimate the price of an Asian
option monitored at m fixed dates. For a variety of processes that can be simulated exactly …

We formulate the problem of determining the optimal importance sampling measure change
for pricing financial derivatives under Lévy processes as a parametric optimization problem …

Risk control systems in financial markets with numerous innovative financial products are
characterized by infrequent and significant fluctuations (eg, financial crises and minor …

We provide new closed‐form approximations for the pricing of spread options in three
specific instances of exponential Lévy markets, ie, when log‐returns are modeled as …

We present a new variance reduction method for Asian options under a general model
framework. The three special cases we consider are Lévy processes, Heston stochastic …

This paper presents a new control variate method for general multi-dimensional stochastic
differential equations (SDEs) including jumps in order to reduce the variance of Monte Carlo …

Lévy processes provide a solution to overcome the shortcomings of the lognormal
hypothesis. A growing literature proposes the use of pure‐jump Lévy processes, such as the …

This paper provides a novel and general framework for the problem of searching parameter
space in Monte Carlo simulations. We propose a deterministic online algorithm and a …

This study proposes a new control variate method for Lévy models in finance. Our method
generates a process of the control variate whose initial and terminal values coincide with …

We investigate pricing issue of discrete-double barrier options under Lévy processes. We
first derive an analytical pricing formula, which is no longer applicable when the monitoring …