A Wiener–Hopf Monte Carlo simulation technique for Lévy processes

Published 2011 View Full Article

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Title
A Wiener–Hopf Monte Carlo simulation technique for Lévy processes
Authors
Keywords
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Journal
ANNALS OF APPLIED PROBABILITY
Volume 21, Issue 6, Pages 2171-2190
Publisher
Institute of Mathematical Statistics
Online
2011-11-23
DOI
10.1214/10-aap746

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