In a rather general setting of Itocirc;-Leacute;vy processes we study a class of transforms (Fourier for example) of the state variable of a process which are holomorphic in some disc around time zero in the complex plane. We show that such transforms are related to a system of analytic vectors...

In this paper we introduce efficient Monte Carlo estimators for the valuation of high-dimensional derivatives and their sensitivities (Greeks). These estimators are based on an analytical, usually approximative representation of the underlying density. We study approximative densities obtained...

In this paper we introduce efficient Monte Carlo estimators for the valuation of high-dimensional derivatives and their sensitivities (''Greeks''). These estimators are based on an analytical, usually approximative representation of the underlying density. We study approximative densities...