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

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Revision as of 20:38, 8 July 2024

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Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias
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    Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias (English)
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    8 August 2014
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    adaptive discretization
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    barrier options
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    bridge Monte Carlo methods
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    exit probability
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    killed Lévy process
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    Lévy bridge
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    small-time asymptotics
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