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Efficient simulation of gamma and variance-gamma processes

Record type: Conference or Workshop Item (Other)

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}.

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Citation

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.

More information

Published date: 1 January 2004
Venue - Dates: 2003 Winter Simulation Conference, 2003-12-01 - 2003-12-01
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

Identifiers

Local EPrints ID: 55793
URI: http://eprints.soton.ac.uk/id/eprint/55793
ISBN: 0780381319
PURE UUID: 75463371-c110-4110-8ec5-15bda9d84017

Catalogue record

Date deposited: 06 Aug 2008
Last modified: 17 Jul 2017 14:32

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Contributors

Author: Pierre L'Ecuyer
Author: Pierre-Alexandre Tremblay
Editor: S. Chick
Editor: P.J. Sánchez
Editor: D. Ferrin
Editor: D.J. Morrice

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