Multilevel Monte Carlo for exponential Lévy models
DOI10.1007/s00780-017-0341-7zbMath1403.91371arXiv1403.5309OpenAlexW1559531285WikidataQ59613327 ScholiaQ59613327MaRDI QIDQ2412390
Publication date: 23 October 2017
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1403.5309
Asian options\(\alpha\)-stable processmultilevel Monte Carloexponential Lévy modelsbarrier optionsnormal inverse Gaussian processlookback optionsvariance Gamma processconvergence discretely sampled running maximum
Processes with independent increments; Lévy processes (60G51) Gaussian processes (60G15) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (11)
Cites Work
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