Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation (Q2675813): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Changed an Item |
||
(5 intermediate revisions by 4 users not shown) | |||
Property / describes a project that uses | |||
Property / describes a project that uses: SupStable.jl / rank | |||
Normal rank | |||
Property / describes a project that uses | |||
Property / describes a project that uses: GitHub / rank | |||
Normal rank | |||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W4298140476 / rank | |||
Normal rank | |||
Property / Wikidata QID | |||
Property / Wikidata QID: Q114228726 / rank | |||
Normal rank | |||
Property / arXiv ID | |||
Property / arXiv ID: 2011.06618 / rank | |||
Normal rank |
Latest revision as of 08:53, 19 April 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation |
scientific article |
Statements
Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation (English)
0 references
26 September 2022
0 references
Lévy models
0 references
drawdown
0 references
duration of drawdown
0 references
barrier options
0 references
Gaussian approximation
0 references
Wasserstein and Kolmogorov bounds for maximum and the time maximum is attained
0 references
simulation
0 references
multilevel Monte Carlo
0 references