Error Bounds for Small Jumps of Lévy Processes (Q4915651): Difference between revisions

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+.4886
@@ Property / arXiv ID: 1009.4886 / rank @@
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+Approximations of small jumps of Lévy processes with a view towards simulation
+Normal rank
@@ Property / cites work @@
+Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
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@@ Property / cites work @@
+Q4888858
@@ Property / cites work: Q4888858 / rank @@
+Normal rank
@@ Property / cites work @@
+A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options
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@@ Property / cites work @@
+On the law of the supremum of Lévy processes
@@ Property / cites work: On the law of the supremum of Lévy processes / rank @@
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@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
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+Integro-differential equations for option prices in exponential Lévy models
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+Connecting discrete and continuous lookback or hindsight options in exponential Lévy models
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@@ Property / cites work @@
+Q2738734
@@ Property / cites work: Q2738734 / rank @@
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+PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
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+Computing exponential moments of the discrete maximum of a Lévy process and lookback options
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+Natural exponential families with quadratic variance functions
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+The normal inverse gaussian lévy process: simulation and approximation
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+Q4937701
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+On Error Rates in Normal Approximations and Simulation Schemes for Lévy Processes
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+Q5524051
@@ Property / cites work: Q5524051 / rank @@
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+Q3563048
@@ Property / cites work: Q3563048 / rank @@
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