Sinh-acceleration: efficient evaluation of probability distributions, option pricing, and Monte Carlo simulations
Svetlana Boyarchenko and Sergei Levendorskiĭ
| Year of publication: |
2019
|
|---|---|
| Authors: | Bojarčenko, Svetlana I. ; Levendorskij, Sergej Z. |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 22.2019, 3, p. 1-49
|
| Subject: | Sinh-regular Lévy processes | sinh-regular distributions | sinh-acceleration | conformal principal components | Heston model | KoBoL | CGMY | CIR | CIR subordinator | Monte Carlo simulations | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Simulation | Statistische Verteilung | Statistical distribution | Wahrscheinlichkeitsrechnung | Probability theory | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024919500110 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012019776