Multilevel Monte Carlo simulation for Lévy processes based on the Wiener-Hopf factorisation

DOI10.1016/j.spa.2013.09.015zbMath1321.65004arXiv1210.5868OpenAlexW2090311352MaRDI QIDQ2434751

Yanyan Li

Publication date: 7 February 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.5868

zbMATH Keywords

Lévy processesMonte Carlo simulationmultilevel Monte Carlobarrier optionsWiener-Hopf decomposition

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05)

Related Items (14)

Unbiased parameter inference for a class of partially observed Lévy-process models ⋮ Zooming in on a Lévy process at its supremum ⋮ Geometrically Convergent Simulation of the Extrema of Lévy Processes ⋮ Multilevel Monte Carlo for exponential Lévy models ⋮ AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING ⋮ Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation ⋮ Applications of artificial neural networks to simulating Lévy processes ⋮ Thinning and multilevel Monte Carlo methods for piecewise deterministic (Markov) processes with an application to a stochastic Morris–Lecar model ⋮ Implementable coupling of Lévy process and Brownian motion ⋮ Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications ⋮ Optimal importance sampling for Lévy processes ⋮ An Euler–Poisson scheme for Lévy driven stochastic differential equations ⋮ Approximate Wiener--Hopf Factorization and Monte Carlo Methods for Lévy Processes ⋮ Multilevel particle filters for Lévy-driven stochastic differential equations

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