A Monte Carlo algorithm for the extrema of tempered stable processes (Q6198071)
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scientific article; zbMATH DE number 7806766
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Monte Carlo algorithm for the extrema of tempered stable processes |
scientific article; zbMATH DE number 7806766 |
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A Monte Carlo algorithm for the extrema of tempered stable processes (English)
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20 February 2024
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supremum
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tempered
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Lévy process
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simulation
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Monte Carlo estimation
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geometric convergence
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multilevel Monte Carlo
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