Simulation of Lévy-driven models and its application in finance

DOI10.3934/naco.2012.2.749zbMath1260.91257OpenAlexW2316506752MaRDI QIDQ1940959

Jianqiang Hu, Yijie Peng, Rachel R. Chen

Publication date: 11 March 2013

Published in: Numerical Algebra, Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/naco.2012.2.749

zbMATH Keywords

simulationLévy processesmaximum likelihood estimationgradient estimation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Foundations of stochastic processes (60G05)

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