Likelihood ratio gradient estimation for Meixner distribution and Lévy processes (Q2512758)
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scientific article; zbMATH DE number 6393425
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| English | Likelihood ratio gradient estimation for Meixner distribution and Lévy processes |
scientific article; zbMATH DE number 6393425 |
Statements
Likelihood ratio gradient estimation for Meixner distribution and Lévy processes (English)
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30 January 2015
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acceptance-rejection sampling
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Esscher density transform
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Greeks
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Lévy process
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likelihood ratio method
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Meixner distribution
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Meixner process
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Monte Carlo simulation
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0.89108676
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0.8877018
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0.87893105
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0.8777702
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0.87618566
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0.8753887
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0.8733897
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0.87175375
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0.8703246
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