Simulation of Lévy-driven models and its application in finance

DOI10.3934/NACO.2012.2.749zbMATH Open1260.91257OpenAlexW2316506752MaRDI QIDQ1940959FDOQ1940959

Authors: Jianqiang Hu, Yijie Peng, Rachel R. Chen 

Publication date: 11 March 2013

Published in: Numerical Algebra, Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/naco.2012.2.749

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zbMATH Keywords

maximum likelihood estimationsimulationgradient estimationLévy processes

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Foundations of stochastic processes (60G05)

Cited In (7)

• Title not available (Why is that?)
• Title not available (Why is that?)
• A new simulation scheme of diffusion processes: Application of the Kusuoka approximation to finance problems.
• Modeling and complexity of stochastic interacting Lévy type financial price dynamics
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• Simulation of Lévy-driven models and their applications in finance
• The research of parameter estimations under the Lévy process based on option pricing

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