Universal Monte Carlo method for Lévy processes and their extrema
From MaRDI portal
Publication:6645006
Recommendations
- Monte Carlo method for pricing lookback type options in Lévy models
- Approximate Wiener-Hopf factorization and Monte Carlo methods for Lévy processes
- A Wiener-Hopf Monte Carlo simulation technique for Lévy processes
- Geometrically convergent simulation of the extrema of Lévy processes
- Applying the Wiener-Hopf Monte Carlo simulation technique for Lévy processes to path functionals
Cites work
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- 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
- 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
Cited in
(3)
This page was built for publication: Universal Monte Carlo method for Lévy processes and their extrema
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6645006)
