Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias (Q395995)
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scientific article; zbMATH DE number 6327905
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| English | Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias |
scientific article; zbMATH DE number 6327905 |
Statements
Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias (English)
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8 August 2014
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adaptive discretization
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barrier options
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bridge Monte Carlo methods
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exit probability
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killed Lévy process
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Lévy bridge
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small-time asymptotics
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0.7427192330360413
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0.7376108169555664
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0.7365933060646057
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0.7263518571853638
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