Forward or backward simulation? A comparative study (Q5139227)

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scientific article; zbMATH DE number 7282773
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English
Forward or backward simulation? A comparative study
scientific article; zbMATH DE number 7282773

    Statements

    title
    Forward or backward simulation? A comparative study (English)
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    author
    Piergiacomo Sabino
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    publication date
    7 December 2020
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    zbMATH Keywords
    backward Monte Carlo simulations
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    Lévy processes
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    time-changed Ornstein-Uhlenbeck processes
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    energy derivatives
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    cites work
    Q3376698
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    Q3723577
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    Q4433608
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    Q4821330
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    Q4003879
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    Q4937701
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    60G40
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    60G51
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    60G55
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    60J70
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    zbMATH DE Number
    7282773
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    OpenAlex ID
    W3016243882
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