Monte Carlo Simulation of the CGMY Process and Option Pricing
Monte Carlo Simulation of the CGMY Process and Option Pricing
Abstract We present a joint Monte CarloāFourier transform sampling scheme for pricing derivative products under a CarrāGemanāMadanāYor (CGMY) model (Carr et al. [Journal of Business, 75, 305ā332, 2002]) exhibiting jumps of infinite activity and finite or infinite variation. The approach relies on numerical transform inversion with computable error estimates, which ā¦