Importance sampling and statistical Romberg method for Lévy processes (Q271865)
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scientific article; zbMATH DE number 6570915
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| English | Importance sampling and statistical Romberg method for Lévy processes |
scientific article; zbMATH DE number 6570915 |
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Importance sampling and statistical Romberg method for Lévy processes (English)
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20 April 2016
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Lévy processes
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Esscher transform
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central limit theorems
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statistical Romberg method
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Monte Carlo method
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variance reduction
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CGMY model
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0.833038330078125
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0.8239455223083496
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0.8171665072441101
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0.8071655035018921
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0.8038976788520813
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