Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation (Q2675813)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation |
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation |
scientific article |
Statements
Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation (English)
0 references
26 September 2022
0 references
Lévy models
0 references
drawdown
0 references
duration of drawdown
0 references
barrier options
0 references
Gaussian approximation
0 references
Wasserstein and Kolmogorov bounds for maximum and the time maximum is attained
0 references
simulation
0 references
multilevel Monte Carlo
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
