Monte Carlo method for pricing lookback type options in Lévy models (Q6589448)
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scientific article; zbMATH DE number 7898579
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| English | Monte Carlo method for pricing lookback type options in Lévy models |
scientific article; zbMATH DE number 7898579 |
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Monte Carlo method for pricing lookback type options in Lévy models (English)
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19 August 2024
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Monte Carlo method
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Wiener-Hopf factorization
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Lévy processes
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integral transformations
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option pricing
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