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A fast Monte Carlo scheme for additive processes and option pricing - MaRDI portal

A fast Monte Carlo scheme for additive processes and option pricing (Q6134302)

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scientific article; zbMATH DE number 7730670
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English
A fast Monte Carlo scheme for additive processes and option pricing
scientific article; zbMATH DE number 7730670

    Statements

    title
    A fast Monte Carlo scheme for additive processes and option pricing (English)
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    author
    Michele Azzone
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    Roberto Baviera
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    publication date
    22 August 2023
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    zbMATH Keywords
    additive process
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    simulation
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    fast Fourier transform
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    Lewis formula
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    cites work
    Q5558293
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    Q2747613
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    Q4433608
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    Q5287558
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    Q3410604
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    Q4301585
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    Q4937701
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    Identifiers

    arXiv ID
    2112.08291
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    zbMATH DE Number
    7730670
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    OpenAlex ID
    W4381988108
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