Monte Carlo method for pricing lookback type options in Lévy models

Processes with independent increments; Lévy processes (60G51) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Cites Work

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Cited In (2)

Universal Monte Carlo method for Lévy processes and their extrema
Fast calculation of integral convolution operators in problems of evaluating options in Lévy's models

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