Simulation of a L\'evy process, its extremum, and hitting time of the extremum via characteristic functions

arXiv2312.03929MaRDI QIDQ6462511

Svetlana Boyarchenko, Sergei Levendorskii

Publication date: 6 December 2023

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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