Numerical methods for Lévy processes
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Publication:964687
DOI10.1007/s00780-009-0100-5zbMath1195.91175OpenAlexW2162180417MaRDI QIDQ964687
Norbert Hilber, Christoph Schwab, Nils Reich, Christoph Winter
Publication date: 22 April 2010
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/20.500.11850/19762
Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Finite difference methods for boundary value problems involving PDEs (65N06)
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