Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications
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Publication:2794727
DOI10.1239/jap/1450802754zbMath1334.65008arXiv1410.7316OpenAlexW89543240MaRDI QIDQ2794727
Johannes Stolte, Martijn R. Pistorius, Aleksandar Mijatović
Publication date: 11 March 2016
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1410.7316
numerical examplesBrownian motionoccupation timefirst-passage timeLévy bridge processMarkov bridge samplingmixed-exponential jump-diffusionMonte Carlo variance reduction method
Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Brownian motion (60J65) Diffusion processes (60J60)
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