Chapter 8. Simulation Techniques

  1. Wim Schoutens

Published Online: 1 SEP 2003

DOI: 10.1002/0470870230.ch8

Lévy Processes in Finance: Pricing Financial Derivatives

Lévy Processes in Finance: Pricing Financial Derivatives

How to Cite

Schoutens, W. (2003) Simulation Techniques, in Lévy Processes in Finance: Pricing Financial Derivatives, John Wiley & Sons, Ltd, Chichester, UK. doi: 10.1002/0470870230.ch8

Author Information

  1. Katholieke Universiteit Leuven, Belgium

Publication History

  1. Published Online: 1 SEP 2003
  2. Published Print: 25 MAR 2003

Book Series:

  1. Wiley Series in Probability and Statistics

Book Series Editors:

  1. Walter A. Shewhart and
  2. Samuel S. Wilks

ISBN Information

Print ISBN: 9780470851562

Online ISBN: 9780470870235

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Summary

This chapter contains sections titled:

  • Simulation of Basic Processes

    • Simulation of Standard Brownian Motion

    • Simulation of a Poisson Process

  • Simulation of a Lévy Process

    • The Compound Poisson Approximation

    • On the Choice of the Poisson Processes

  • Simulation of an OU Process

  • Simulation of Particular Processes

    • The Gamma Process

    • The VG Process

    • The TS Process

    • The IG Process

    • The NIG Process

    • The Gamma–OU Process

    • The IG–OU Process

    • The CIR Process

    • BNS Model