Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias

DOI10.3150/13-BEJ517zbMath1312.60056arXiv1203.2355OpenAlexW3123484659MaRDI QIDQ395995

José E. Figueroa-López, Peter Tankov

Publication date: 8 August 2014

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1203.2355

zbMATH Keywords

small-time asymptoticsexit probabilityadaptive discretizationbarrier optionsbridge Monte Carlo methodskilled Lévy processLévy bridge

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Monte Carlo methods (65C05) Transition functions, generators and resolvents (60J35)

Related Items (4)

Multilevel Monte Carlo for exponential Lévy models ⋮ A Monte Carlo algorithm for the extrema of tempered stable processes ⋮ Simulation of Tempered Stable Lévy Bridges and Its Applications ⋮ Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications

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