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

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-.1016/j.spa.2015.12.008
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+Adaptative Monte Carlo Method, A Variance Reduction Technique
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@@ Property / cites work @@
+Approximations of small jumps of Lévy processes with a view towards simulation
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+Importance sampling and statistical Romberg method
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+Central limit theorem for the multilevel Monte Carlo Euler method
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+Gaussian approximation of multivariate Lévy processes with applications to simulation of tempered stable processes
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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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+Multilevel Monte Carlo for Lévy-driven SDEs: central limit theorems for adaptive Euler schemes
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+Error Bounds for Small Jumps of Lévy Processes
@@ Property / cites work: Error Bounds for Small Jumps of Lévy Processes / rank @@
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+Connecting discrete and continuous lookback or hindsight options in exponential Lévy models
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+Continuity Correction for Barrier Options in Jump-Diffusion Models
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+Q4331760
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+A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
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+Q5624436
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+Multilevel Monte Carlo Path Simulation
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+Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options
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+The approximate Euler method for Lévy driven stochastic differential equations
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+Optimal Importance Sampling Parameter Search for Lévy Processes via Stochastic Approximation
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+Statistical Romberg extrapolation: a new variance reduction method and applications to option pricing
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+Jump-adapted discretization schemes for Lévy-driven SDEs
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+Q4346705
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+Optimal posting price of limit orders: learning by trading
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+Monte Carlo option pricing for tempered stable (CGMY) processes
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+The Euler scheme for Lévy driven stochastic differential equations
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+Q2738738
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+Tempering stable processes
@@ Property / cites work: Tempering stable processes / rank @@
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+Q4937701
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+Expansion of the global error for numerical schemes solving stochastic differential equations
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+Multilevel Path Simulation for Jump-Diffusion SDEs
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@@ Property / DOI @@
+.1016/J.SPA.2015.12.008
@@ Property / DOI: 10.1016/J.SPA.2015.12.008 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:271865