An importance sampling method based on the density transformation of Lévy processes (Q5487896): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1515/156939606777488833 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2055249544 / rank | |||
Normal rank | |||
Revision as of 00:30, 20 March 2024
scientific article; zbMATH DE number 5053281
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An importance sampling method based on the density transformation of Lévy processes |
scientific article; zbMATH DE number 5053281 |
Statements
An importance sampling method based on the density transformation of Lévy processes (English)
0 references
13 September 2006
0 references
CGMY process
0 references
Esscher transform
0 references
Gamma process
0 references
Meixner process
0 references
Monte Carlo simulations
0 references
series representation
0 references
subordination
0 references
importance sampling
0 references
Lévy measure
0 references
Numerical examples
0 references
convergence acceleration
0 references
variance reduction
0 references
financial derivatives pricing
0 references
