Importance sampling and statistical Romberg method for Lévy processes (Q271865): Difference between revisions

@@ Property / DOI @@
-.1016/j.spa.2015.12.008
@@ Property / DOI: 10.1016/j.spa.2015.12.008 / rank @@
-Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2286187608
@@ Property / OpenAlex ID: W2286187608 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.0898
@@ Property / arXiv ID: 1408.0898 / rank @@
+Normal rank
@@ Property / cites work @@
+Adaptative Monte Carlo Method, A Variance Reduction Technique
+Normal rank
@@ Property / cites work @@
+Approximations of small jumps of Lévy processes with a view towards simulation
+Normal rank
@@ Property / cites work @@
+Importance sampling and statistical Romberg method
+Normal rank
@@ Property / cites work @@
+Central limit theorem for the multilevel Monte Carlo Euler method
+Normal rank
@@ Property / cites work @@
+Q5560061
@@ Property / cites work: Q5560061 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4726487
@@ Property / cites work: Q4726487 / rank @@
+Normal rank
@@ Property / cites work @@
+Gaussian approximation of multivariate Lévy processes with applications to simulation of tempered stable processes
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Multilevel Monte Carlo for Lévy-driven SDEs: central limit theorems for adaptive Euler schemes
+Normal rank
@@ Property / cites work @@
+Error Bounds for Small Jumps of Lévy Processes
@@ Property / cites work: Error Bounds for Small Jumps of Lévy Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Connecting discrete and continuous lookback or hindsight options in exponential Lévy models
+Normal rank
@@ Property / cites work @@
+Continuity Correction for Barrier Options in Jump-Diffusion Models
+Normal rank
@@ Property / cites work @@
+Q4331760
@@ Property / cites work: Q4331760 / rank @@
+Normal rank
@@ Property / cites work @@
+A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
+Normal rank
@@ Property / cites work @@
+Q5624436
@@ Property / cites work: Q5624436 / rank @@
+Normal rank
@@ Property / cites work @@
+Multilevel Monte Carlo Path Simulation
@@ Property / cites work: Multilevel Monte Carlo Path Simulation / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options
+Normal rank
@@ Property / cites work @@
+The approximate Euler method for Lévy driven stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Optimal Importance Sampling Parameter Search for Lévy Processes via Stochastic Approximation
+Normal rank
@@ Property / cites work @@
+Statistical Romberg extrapolation: a new variance reduction method and applications to option pricing
+Normal rank
@@ Property / cites work @@
+Jump-adapted discretization schemes for Lévy-driven SDEs
+Normal rank
@@ Property / cites work @@
+Q4346705
@@ Property / cites work: Q4346705 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal posting price of limit orders: learning by trading
+Normal rank
@@ Property / cites work @@
+Monte Carlo option pricing for tempered stable (CGMY) processes
+Normal rank
@@ Property / cites work @@
+The Euler scheme for Lévy driven stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Q2738738
@@ Property / cites work: Q2738738 / rank @@
+Normal rank
@@ Property / cites work @@
+Tempering stable processes
@@ Property / cites work: Tempering stable processes / rank @@
+Normal rank
@@ Property / cites work @@
+Q4937701
@@ Property / cites work: Q4937701 / rank @@
+Normal rank
@@ Property / cites work @@
+Expansion of the global error for numerical schemes solving stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Multilevel Path Simulation for Jump-Diffusion SDEs
+Normal rank
@@ Property / DOI @@
+.1016/J.SPA.2015.12.008
@@ Property / DOI: 10.1016/J.SPA.2015.12.008 / rank @@
+Normal rank