Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation (Q2675813)
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scientific article; zbMATH DE number 7592347
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| English | Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation |
scientific article; zbMATH DE number 7592347 |
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Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation (English)
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26 September 2022
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Lévy models
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drawdown
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duration of drawdown
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barrier options
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Gaussian approximation
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Wasserstein and Kolmogorov bounds for maximum and the time maximum is attained
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simulation
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multilevel Monte Carlo
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0.7811216115951538
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0.7416138052940369
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0.7373558282852173
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0.7366662621498108
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0.7253720164299011
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