Efficient evaluation of expectations of functions of a stable L\'evy process and its extremum
arXiv2209.12349MaRDI QIDQ6411873
Svetlana Boyarchenko, Sergei Levendorskii
Publication date: 25 September 2022
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) Fractional derivatives and integrals (26A33) 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) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Stable stochastic processes (60G52) Numerical methods in Fourier analysis (65T99) Fractional partial differential equations (35R11)
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