Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias
From MaRDI portal
Publication:395995
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
small-time asymptotics; exit probability; adaptive discretization; barrier options; bridge Monte Carlo methods; killed Lévy process; Lévy bridge
60G51: Processes with independent increments; Lévy processes
65C05: Monte Carlo methods
60J35: Transition functions, generators and resolvents
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