2 papers
math.PR2014
Randomisation and recursion methods for mixed-exponential Levy models, with financial applications
Aleksandar Mijatovic, Martijn Pistorius, Johannes Stolte
We develop a new Monte Carlo variance reduction method to estimate the expectation of two commonly encountered path-dependent functionals: first-passage times and occupation times…
q-fin.CP2012
Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations
Martijn Pistorius, Johannes Stolte
We present a new numerical method to price vanilla options quickly in time-changed Brownian motion models. The method is based on rational function approximations of the Black-Scho…