Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias

DOI10.3150/13-BEJ517zbMath1312.60056arXiv1203.2355MaRDI QIDQ395995

José E. Figueroa-López, Peter Tankov

Publication date: 8 August 2014

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1203.2355

zbMATH Keywords

small-time asymptotics; exit probability; adaptive discretization; barrier options; bridge Monte Carlo methods; killed Lévy process; Lévy bridge

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

65C05: Monte Carlo methods

60J35: Transition functions, generators and resolvents

Related Items

Simulation of Tempered Stable Lévy Bridges and Its Applications, A Monte Carlo algorithm for the extrema of tempered stable processes, Multilevel Monte Carlo for exponential Lévy models, Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications

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