A Wiener-Hopf Monte Carlo simulation technique for Lévy processes

DOI10.1214/10-AAP746zbMath1245.65005arXiv0912.4743MaRDI QIDQ657695

Alexey Kuznetsov, Juan Carlos Pardo, Andreas E. Kyprianou, Kees van Schaik

Publication date: 10 January 2012

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0912.4743

zbMATH Keywords

numerical resultsLévy processesWiener-Hopf factorizationPoisson processfinancial mathematicsexotic option pricingrunning maximuminsurance risk theoryhypergeomatric Lévy processesWiener-Hopf Monte Carlo method

Mathematics Subject Classification ID

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Cites Work

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