A Monte Carlo algorithm for the extrema of tempered stable processes

DOI10.1017/apr.2023.1arXiv2103.15310OpenAlexW3146289850MaRDI QIDQ6198071

Jorge Ignacio González Cázares, Aleksandar Mijatović

Publication date: 20 February 2024

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2103.15310

zbMATH Keywords

simulation geometric convergence Lévy process multilevel Monte Carlo supremum Monte Carlo estimation tempered

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

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