Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias (Q395995): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+G51
@@ Property / Mathematics Subject Classification ID: 60G51 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+J35
@@ Property / Mathematics Subject Classification ID: 60J35 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+C05
@@ Property / Mathematics Subject Classification ID: 65C05 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6327905
@@ Property / zbMATH DE Number: 6327905 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+adaptive discretization
@@ Property / zbMATH Keywords: adaptive discretization / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+barrier options
@@ Property / zbMATH Keywords: barrier options / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+bridge Monte Carlo methods
@@ Property / zbMATH Keywords: bridge Monte Carlo methods / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+exit probability
@@ Property / zbMATH Keywords: exit probability / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+killed Lévy process
@@ Property / zbMATH Keywords: killed Lévy process / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Lévy bridge
@@ Property / zbMATH Keywords: Lévy bridge / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+small-time asymptotics
@@ Property / zbMATH Keywords: small-time asymptotics / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.2355
@@ Property / arXiv ID: 1203.2355 / rank @@
+Normal rank
@@ Property / cites work @@
+Efficient Monte Carlo and Quasi–Monte Carlo Option Pricing Under the Variance Gamma Model
+Normal rank
@@ Property / cites work @@
+Exact asymptotics for the probability of exit from a domain and applications to simulation
+Normal rank
@@ Property / cites work @@
+Comment on ‘Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes’ by C. Ribeiro and N. Webber
+Normal rank
@@ Property / cites work @@
+Q4888858
@@ Property / cites work: Q4888858 / rank @@
+Normal rank
@@ Property / cites work @@
+Barrier options and touch-and-out options under regular Lévy processes of exponential type
+Normal rank
@@ Property / cites work @@
+Properties of Lévy flights on an interval with absorbing boundaries
+Normal rank
@@ Property / cites work @@
+A Method for Simulating Stable Random Variables
@@ Property / cites work: A Method for Simulating Stable Random Variables / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation for Lévy processes from high frequency data within a long time interval
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Q3723577
@@ Property / cites work: Q3723577 / rank @@
+Normal rank
@@ Property / cites work @@
+Adaptive Monte Carlo Algorithms for Stopped Diffusion
+Normal rank
@@ Property / cites work @@
+Sieve-based confidence intervals and bands for Lévy densities
+Normal rank
@@ Property / cites work @@
+The Small-Maturity Smile for Exponential Lévy Models
+Normal rank
@@ Property / cites work @@
+Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps
+Normal rank
@@ Property / cites work @@
+Small-time expansions for the transition distributions of Lévy processes
+Normal rank
@@ Property / cites work @@
+Small-time expansions for local jump-diffusion models with infinite jump activity
+Normal rank
@@ Property / cites work @@
+Thermalization of Random Motion in Weakly Confining Potentials
+Normal rank
@@ Property / cites work @@
+Remarks on deviation inequalities for functions of infinitely divisible random vectors
+Normal rank
@@ Property / cites work @@
+The Moment Problem for Unimodal Distributions
@@ Property / cites work: The Moment Problem for Unimodal Distributions / rank @@
+Normal rank
@@ Property / cites work @@
+First passage times of a jump diffusion process
@@ Property / cites work: First passage times of a jump diffusion process / rank @@
+Normal rank
@@ Property / cites work @@
+A Wiener-Hopf Monte Carlo simulation technique for Lévy processes
+Normal rank
@@ Property / cites work @@
+Introductory lectures on fluctuations of Lévy processes with applications.
+Normal rank
@@ Property / cites work @@
+Q4725453
@@ Property / cites work: Q4725453 / rank @@
+Normal rank
@@ Property / cites work @@
+The random walk's guide to anomalous diffusion: A fractional dynamics approach
+Normal rank
@@ Property / cites work @@
+EFFICIENT MONTE CARLO ALGORITHM FOR PRICING BARRIER OPTIONS
+Normal rank
@@ Property / cites work @@
+Adaptive Weak Approximation of Diffusions with Jumps
+Normal rank
@@ Property / cites work @@
+Q4435813
@@ Property / cites work: Q4435813 / rank @@
+Normal rank
@@ Property / cites work @@
+Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes
+Normal rank
@@ Property / cites work @@
+Asymptotic results for time-changed Lévy processes sampled at hitting times
+Normal rank
@@ Property / cites work @@
+Expansion of transition distributions of Lévy processes in small time
+Normal rank
@@ Property / cites work @@
+Q4301585
@@ Property / cites work: Q4301585 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4937701
@@ Property / cites work: Q4937701 / rank @@
+Normal rank
@@ Property / cites work @@
+Lévy flights and related topics in physics. Proceedings of the international workshop, held at Nice, France, 27-30 June, 1994
+Normal rank
@@ Property / cites work @@
+Adaptive weak approximation of stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Pricing and Hedging in Exponential Lévy Models: Review of Recent Results
+Normal rank
@@ Property / OpenAlex ID @@
+W3123484659
@@ Property / OpenAlex ID: W3123484659 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:395995