Universal Monte Carlo method for Lévy processes and their extrema
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Cites work
- A Wiener-Hopf Monte Carlo simulation technique for Lévy processes
- Applications of artificial neural networks to simulating Lévy processes
- Applying the Wiener-Hopf Monte Carlo simulation technique for Lévy processes to path functionals
- Approximate Wiener-Hopf factorization and Monte Carlo methods for Lévy processes
- Fast and accurate pricing of barrier options under Lévy processes
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- Monte Carlo method for pricing lookback type options in Lévy models
- Multilevel Monte Carlo simulation for Lévy processes based on the Wiener-Hopf factorisation
- Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
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