Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation (Q2675813)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation |
scientific article |
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Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation (English)
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26 September 2022
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Lévy models
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drawdown
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duration of drawdown
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barrier options
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Gaussian approximation
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Wasserstein and Kolmogorov bounds for maximum and the time maximum is attained
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simulation
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multilevel Monte Carlo
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