Multilevel Monte Carlo simulation for Lévy processes based on the Wiener-Hopf factorisation (Q2434751): Difference between revisions
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Latest revision as of 15:06, 18 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multilevel Monte Carlo simulation for Lévy processes based on the Wiener-Hopf factorisation |
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Multilevel Monte Carlo simulation for Lévy processes based on the Wiener-Hopf factorisation (English)
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7 February 2014
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Wiener-Hopf decomposition
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Monte Carlo simulation
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multilevel Monte Carlo
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Lévy processes
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barrier options
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