An importance sampling method based on the density transformation of Lévy processes (Q5487896): Difference between revisions
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| Property / full work available at URL: https://doi.org/10.1515/156939606777488833 / rank | |||
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| Property / cites work: Approximations of small jumps of Lévy processes with a view towards simulation / rank | |||
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Latest revision as of 19:13, 24 June 2024
scientific article; zbMATH DE number 5053281
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An importance sampling method based on the density transformation of Lévy processes |
scientific article; zbMATH DE number 5053281 |
Statements
An importance sampling method based on the density transformation of Lévy processes (English)
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13 September 2006
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CGMY process
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Esscher transform
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Gamma process
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Meixner process
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Monte Carlo simulations
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series representation
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subordination
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importance sampling
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Lévy measure
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Numerical examples
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convergence acceleration
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variance reduction
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financial derivatives pricing
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