Applying the Wiener-Hopf Monte Carlo Simulation Technique for Lévy Processes to Path Functionals (Q5252241)

From MaRDI portal
scientific article; zbMATH DE number 6441356
Language Label Description Also known as
English
Applying the Wiener-Hopf Monte Carlo Simulation Technique for Lévy Processes to Path Functionals
scientific article; zbMATH DE number 6441356

    Statements

    Applying the Wiener-Hopf Monte Carlo Simulation Technique for Lévy Processes to Path Functionals (English)
    0 references
    0 references
    29 May 2015
    0 references
    Wiener-Hopf decomposition
    0 references
    Monte Carlo simulation
    0 references
    multilevel Monte Carlo
    0 references
    Lévy process
    0 references
    exotic option pricing
    0 references
    first passage time
    0 references
    overshoot
    0 references
    insurance risk process
    0 references
    algorithm
    0 references
    Brownian motion
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references