Multilevel Monte Carlo simulation for Lévy processes based on the Wiener-Hopf factorisation (Q2434751)
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scientific article; zbMATH DE number 6256135
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| English | Multilevel Monte Carlo simulation for Lévy processes based on the Wiener-Hopf factorisation |
scientific article; zbMATH DE number 6256135 |
Statements
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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0.8597095012664795
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0.8502921462059021
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0.8427900671958923
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0.8425935506820679
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0.8393110632896423
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