Pages that link to "Item:Q2412390"
From MaRDI portal
The following pages link to Multilevel Monte Carlo for exponential Lévy models (Q2412390):
Displaying 11 items.
- Discretization error for a two-sided reflected Lévy process (Q1992150) (← links)
- General multilevel Monte Carlo methods for pricing discretely monitored Asian options (Q2023956) (← links)
- On the strong convergence rate for the Euler-Maruyama scheme of one-dimensional SDEs with irregular diffusion coefficient and local time (Q2099271) (← links)
- A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation (Q2165398) (← links)
- Zooming-in on a Lévy process: failure to observe threshold exceedance over a dense grid (Q2201489) (← links)
- Implementable coupling of Lévy process and Brownian motion (Q2239264) (← links)
- Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation (Q2675813) (← links)
- Geometrically Convergent Simulation of the Extrema of Lévy Processes (Q5085135) (← links)
- Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric Option Pricing (Q5131414) (← links)
- Superposition, reduction of multivariable problems, and approximation (Q5132227) (← links)
- A Monte Carlo algorithm for the extrema of tempered stable processes (Q6198071) (← links)
