An importance sampling method based on the density transformation of Lévy processes
journal contributionposted on 2009-09-16, 15:15 authored by Reiichiro Kawai
In this paper, we develop an importance sampling method with the help of flexible control on the Lévy measure in the density transformation. The method has significant efficacy even on evaluating random variables with complex path-dependent structures. Numerical examples are presented to illustrate convergence acceleration through variance reduction with a view towards financial derivatives pricing.