Likelihood ratio gradient estimation for Meixner distribution and Lévy processes (Q2512758): Difference between revisions

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+On the computer generation of random variables with a given characteristic function
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+Computations of Greeks in a market with jumps via the Malliavin calculus
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+Applications of Malliavin calculus to Monte Carlo methods in finance
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+Q4433608
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+Sensitivity Estimates from Characteristic Functions
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+Processes of Meixner type
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+Simulation and Estimation of the Meixner Distribution
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+On layered stable processes
@@ Property / cites work: On layered stable processes / rank @@
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+Q3107551
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+Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion
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+Sensitivity analysis for averaged asset price dynamics with gamma processes
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+GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES
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+On the local asymptotic behavior of the likelihood function for Meixner Lévy processes under high-frequency sampling
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+On simulation of tempered stable random variates
@@ Property / cites work: On simulation of tempered stable random variates / rank @@
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+Tempering stable processes
@@ Property / cites work: Tempering stable processes / rank @@
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+Lévy processes, polynomials and martingales
@@ Property / cites work: Lévy processes, polynomials and martingales / rank @@
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+On the Laws of First Hitting Times of Points for One-Dimensional Symmetric Stable Lévy Processes
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+.1007/S00180-011-0288-7
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+Publication:2512758