Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications (Q2794727)
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scientific article; zbMATH DE number 6554313
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications |
scientific article; zbMATH DE number 6554313 |
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Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications (English)
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11 March 2016
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Lévy bridge process
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mixed-exponential jump-diffusion
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first-passage time
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occupation time
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Markov bridge sampling
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numerical examples
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Monte Carlo variance reduction method
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Brownian motion
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