Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation (Q2675813): Difference between revisions

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+ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS
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+Approximations of small jumps of Lévy processes with a view towards simulation
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+MAXIMUM DRAWDOWN INSURANCE
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+Nonparametric implied Lévy densities
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+Exotic options under Lévy models: an overview
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