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Multilevel Monte Carlo simulation for Lévy processes based on the Wiener–Hopf factorisation

✍ Scribed by Ferreiro-Castilla, A.; Kyprianou, A.E.; Scheichl, R.; Suryanarayana, G.

Book ID: 122114048
Publisher: Elsevier Science
Year: 2014
Tongue: English
Weight: 455 KB
Volume: 124
Category: Article
ISSN: 0304-4149
DOI: 10.1016/j.spa.2013.09.015

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