Approximate Wiener--Hopf Factorization and Monte Carlo Methods for Lévy Processes

DOI10.1137/S0040585X97T989441zbMath1479.60098OpenAlexW2965719463MaRDI QIDQ5232086

O. E. Kudryavtsev

Publication date: 29 August 2019

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97t989441

zbMATH Keywords

Laplace transformLévy processesnumerical methodsMonte Carlo methodsWiener-Hopf factorization

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (3)

A fast Monte Carlo scheme for additive processes and option pricing ⋮ Applications of artificial neural networks to simulating Lévy processes ⋮ A Simple Wiener-Hopf Factorization Approach for Pricing Double-Barrier Options

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