Simulating Lévy processes from their characteristic functions and financial applications (Q4635193)
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scientific article; zbMATH DE number 6859989
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| English | Simulating Lévy processes from their characteristic functions and financial applications |
scientific article; zbMATH DE number 6859989 |
Statements
Simulating Lévy Processes from Their Characteristic Functions and Financial Applications (English)
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16 April 2018
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Hilbert transform
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Lévy process
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analytic characteristic function
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control variates
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inverse transform method
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options pricing
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randomized quasi-Monte Carlo method
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0.7962673902511597
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0.7951335906982422
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0.7844119668006897
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0.7633892297744751
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0.7627508640289307
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