Monte Carlo method for pricing lookback type options in Lévy models
type: Item
instance of: scholarly article
title: Monte Carlo method for pricing lookback type options in Lévy models
zbMATH Open document ID: 1542.91426
author: Oleg Kudryavtsev
author: A. S. Grechko
author: I. E. Mamedov
published in: Theory of Probability and its Applications
publication date: 2024-08-19T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G51
zbMATH DE Number: 7898579
zbMATH Keywords: Monte Carlo method
zbMATH Keywords: Wiener-Hopf factorization
zbMATH Keywords: Lévy processes
zbMATH Keywords: integral transformations
zbMATH Keywords: option pricing
MaRDI profile type: Publication
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DOI: 10.1137/S0040585X97T991891
description: scientific article; zbMATH DE number 7898579