Forward or backward simulation? A comparative study
From MaRDI portal
Publication:5139227
DOI10.1080/14697688.2020.1741668zbMath1454.91305MaRDI QIDQ5139227
Publication date: 7 December 2020
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2020.1741668
Lévy processes; energy derivatives; backward Monte Carlo simulations; time-changed Ornstein-Uhlenbeck processes
60G51: Processes with independent increments; Lévy processes
60G40: Stopping times; optimal stopping problems; gambling theory
91G20: Derivative securities (option pricing, hedging, etc.)
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)
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