Efficient simulation of gamma and variance-gamma processes

Avramidis, Athanassios.N., L'Ecuyer, Pierre and Tremblay, Pierre-Alexandre, (2004) Efficient simulation of gamma and variance-gamma processes Chick, S., Sánchez, P.J., Ferrin, D. and Morrice, D.J. (eds.) At 2003 Winter Simulation Conference. 01 Dec 2003. , pp. 319-326.


[img] PDF wsc03vg.pdf - Other
Download (184kB)


We study algorithms for sampling discrete-time paths of a gamma process and a variance gamma process, defined as a Brownian process with random time change obeying a gamma process. The attractive feature of the algorithms is that increments of the processes over longer time scales are assigned to the first sampling coordinates. The algorithms are based on having in explicit form the process' conditional distributions, are similar in spirit to the Brownian bridge sampling algorithms proposed for financial Monte Carlo, and synergize with quasi-Monte Carlo techniques for efficiency improvement. We compare the variance and efficiency of ordinary Monte Carlo and quasi-Monte Carlo for an example of financial option pricing with the variance-gamma model, taken from \cite{fMAD98a}.

Item Type: Conference or Workshop Item (Other)
Venue - Dates: 2003 Winter Simulation Conference, 2003-12-01 - 2003-12-01
Related URLs:
Keywords: Brownian bridge sampling algorithms Brownian process conditional distributions discrete-time path sampling efficiency improvement financial Monte Carlo financial option pricing gamma processes numerical integration process increments quasiMonte Carlo techniques, random time change, sampling coordinates, simulation, time scales, variance-gamma model, variance-gamma processes
Organisations: Operational Research
ePrint ID: 55793
Date :
Date Event
1 January 2004Published
Date Deposited: 06 Aug 2008
Last Modified: 16 Apr 2017 17:42
Further Information:Google Scholar
URI: http://eprints.soton.ac.uk/id/eprint/55793

Actions (login required)

View Item View Item