Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
DOI10.1007/s00780-022-00486-7zbMath1498.91494arXiv2011.06618WikidataQ114228726 ScholiaQ114228726MaRDI QIDQ2675813
Aleksandar Mijatović, Jorge González Cázares
Publication date: 26 September 2022
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2011.06618
simulation; Lévy models; Gaussian approximation; multilevel Monte Carlo; barrier options; drawdown; duration of drawdown; Wasserstein and Kolmogorov bounds for maximum and the time maximum is attained
60G51: Processes with independent increments; Lévy processes
91G60: Numerical methods (including Monte Carlo methods)
60G70: Extreme value theory; extremal stochastic processes
65C05: Monte Carlo methods
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