Efficient evaluation of expectations of functions of a L\'evy process and its extremum

arXiv2207.02793MaRDI QIDQ6404186

Sergei Levendorskii, Svetlana Boyarchenko

Publication date: 6 July 2022

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Computational methods for problems pertaining to probability theory (60-08) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42B10) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10) Numerical methods for integral transforms (65R10) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42A38)

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