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Multilevel Monte Carlo for exponential Lévy models
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Multilevel Monte Carlo for exponential Lévy models (2017)Multilevel Monte Carlo for exponential Lé…Suprema of Lévy processes (2013)Suprema of Lévy processesMultilevel Monte Carlo simulation for Lévy processes based on the Wiener–Hopf factorisation (2013)Multilevel Monte Carlo simula…Monte Carlo and Quasi-Monte Carlo Methods (2013)Monte Carlo and Quasi-Monte C…A Wiener–Hopf Monte Carlo simulation technique for Lévy processes (2011)A Wiener–Hopf Monte Carlo sim…A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations (2011)A multilevel Monte Carlo algo…Multilevel Monte Carlo algorithms for Lévy-driven SDEs with Gaussian correction (2010)Multilevel Monte Carlo algori…On irregular functionals of SDEs and the Euler scheme (2009)On irregular functionals of S…Multilevel Monte Carlo Path Simulation (2008)Multilevel Monte Carlo Path S…Improved Multilevel Monte Carlo Convergence using the Milstein Scheme (2007)Improved Multilevel Monte Car…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…The Finite Moment Log Stable Process and Option Pricing (2003)The Finite Moment Log Stable …Lévy Processes in Finance (2003)Lévy Processes in FinanceLévy processes in finance pricing financial derivatives (2003)Lévy processes in finance pri…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…Discretization Error in Simulation of One-Dimensional Reflecting Brownian Motion (1995)Discretization Error in Simul…General multilevel Monte Carlo methods for pricing discretely monitored Asian options (2020)General multilevel Monte Carl…Lévy Processes and Stochastic Calculus (2004)Least-Squares Monte Carlo for Backward SDEs (2012)Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations (2013)Numerical simulations and modeling for stochastic biological systems with jumps (2013)Numerical solution of stochastic differential equations (2016)Monte Carlo Methods in Financial Engineering (2003)An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process (2011)Unbiased Estimation with Square Root Convergence for SDE Models (2015)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Multi-level Monte Carlo Finite Element method for elliptic PDEs with stochastic coefficients (2011)Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients (2012)Optimal Model Management for Multifidelity Monte Carlo Estimation (2016)The Behavior of Stock-Market Prices (1965)The Pricing of Options and Corporate Liabilities (1973)Time-changed Lévy processes and option pricing (2003)Model Specification and Risk Premia: Evidence from Futures Options (2007)Bioconductor: open software development for computational biology and bioinformatics (2004)Brownian Motion and Stochastic Calculus (2007)Uncertainty quantification and global sensitivity analysis of complex chemical process using a generalized polynomial chaos approach (2016)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)First passage times of a jump diffusion process (2003)A numerical scheme for BSDEs (2004)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)The application of continuous-time random walks in finance and economics (2005)Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009)Fractional Diffusion Models of Option Prices in Markets With Jumps (2006)
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  • 2020General multilevel Monte Carlo methods for pricing discretely monitored Asian options16 cited