A Wiener–Hopf Monte Carlo simulation technique for Lévy processes
نویسندگان
چکیده
منابع مشابه
Applying the Wiener-Hopf Monte Carlo Simulation Technique for Lévy Processes to Path Functionals
In this note we apply the recently established Wiener-Hopf Monte Carlo (WHMC) simulation technique for Lévy processes from Kuznetsov et al. [22] to path functionals, in particular first passage times, overshoots, undershoots and the last maximum before the passage time. Such functionals have many applications, for instance in finance (the pricing of exotic options in a Lévy model) and insurance...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2011
ISSN: 1050-5164
DOI: 10.1214/10-aap746