Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
DOI10.1007/s00780-022-00486-7zbMath1498.91494arXiv2011.06618OpenAlexW4298140476WikidataQ114228726 ScholiaQ114228726MaRDI QIDQ2675813
Aleksandar Mijatović, Jorge González Cázares
Publication date: 26 September 2022
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2011.06618
simulationLévy modelsGaussian approximationmultilevel Monte Carlobarrier optionsdrawdownduration of drawdownWasserstein and Kolmogorov bounds for maximum and the time maximum is attained
Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Extreme value theory; extremal stochastic processes (60G70) Monte Carlo methods (65C05)
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