✦ LIBER ✦

Fast, accurate algorithm for numerical simulation of Lévy stable stochastic processes

✍ Scribed by Mantegna, Rosario

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Fast and accurate pricing of barrier opt

✍ Oleg Kudryavtsev; Sergei Levendorskiǐ 📂 Article 📅 2009 🏛 Springer-Verlag 🌐 English ⚖ 526 KB

Simulation of stochastic integrals with

✍ Magnus Wiktorsson 📂 Article 📅 2002 🏛 Elsevier Science 🌐 English ⚖ 125 KB

A Fast and Accurate FFT-Based Method for

✍ Lord, R.; Fang, F.; Bervoets, F.; Oosterlee, C. W. 📂 Article 📅 2008 🏛 Society for Industrial and Applied Mathematics 🌐 English ⚖ 427 KB

Lévy–Student processes for a stochastic

✍ N. Cufaro Petroni; S. De Martino; S. De Siena; F. Illuminati 📂 Article 📅 2006 🏛 Elsevier Science 🌐 English ⚖ 391 KB

Dimension results for sample paths of op

✍ Mark M. Meerschaert; Yimin Xiao 📂 Article 📅 2005 🏛 Elsevier Science 🌐 English ⚖ 326 KB

Improved convergence rate for the simula

✍ Sylvain Rubenthaler; Magnus Wiktorsson 📂 Article 📅 2003 🏛 Elsevier Science 🌐 English ⚖ 288 KB