Simulation of tempered stable Lévy bridges and its applications
Kyoung-Kuk Kim (Department of Industrial and Systems Engineering, Korea Advanced Institute of Science and Technology, Daejeon, South Korea), Sojung Kim (Department of Mathematical Sciences, Korea Advanced Institute of Science and Technology, Daejeon, South Korea)
| Year of publication: |
March-April 2016
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|---|---|
| Authors: | Kim, Kyoung-Kuk ; Kim, Sojung |
| Published in: |
Operations research. - Catonsville, MD : INFORMS, ISSN 0030-364X, ZDB-ID 123389-0. - Vol. 64.2016, 2, p. 495-509
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| Subject: | bridge sampling | Lévy process | saddlepoint approximation | tempered stable subordinator | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Simulation | Schätztheorie | Estimation theory | Stichprobenerhebung | Sampling | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/opre.2016.1477 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011485601