Monte Carlo method for pricing lookback type options in Lévy models
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Publication:6589448
DOI10.1137/s0040585x97t991891zbMath1542.91426MaRDI QIDQ6589448
A. S. Grechko, Oleg Kudryavtsev, I. E. Mamedov
Publication date: 19 August 2024
Published in: Theory of Probability and its Applications (Search for Journal in Brave)
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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