Applying the Wiener-Hopf Monte Carlo Simulation Technique for Lévy Processes to Path Functionals (Q5252241)
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scientific article; zbMATH DE number 6441356
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Applying the Wiener-Hopf Monte Carlo Simulation Technique for Lévy Processes to Path Functionals |
scientific article; zbMATH DE number 6441356 |
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Applying the Wiener-Hopf Monte Carlo Simulation Technique for Lévy Processes to Path Functionals (English)
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29 May 2015
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Wiener-Hopf decomposition
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Monte Carlo simulation
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multilevel Monte Carlo
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Lévy process
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exotic option pricing
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first passage time
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overshoot
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insurance risk process
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algorithm
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Brownian motion
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