Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias (Q395995)
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scientific article; zbMATH DE number 6327905
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias |
scientific article; zbMATH DE number 6327905 |
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Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias (English)
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8 August 2014
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adaptive discretization
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barrier options
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bridge Monte Carlo methods
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exit probability
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killed Lévy process
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Lévy bridge
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small-time asymptotics
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