Fourier-cosine method for ruin probabilities (Q2515094): Difference between revisions

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+A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
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+Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
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+A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model
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+Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions
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+When does the surplus reach a given target?
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+Ruin probabilities and decompositions for general perturbed risk processes.
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+Simple approximations of ruin probabilities
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+Simulation of ruin probabilities
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+On a simple quasi-Monte Carlo approach for classical ultimate ruin probabilities
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+Higher-order expansions for compound distributions and ruin probabilities with subexponential claims
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+On the efficient evaluation of ruin probabilities for completely monotone claim distributions
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+Fourier-cosine method for Gerber-Shiu functions
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+Multi-precision Laplace transform inversion
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