Ferreiro-Castilla, A.; Kyprianou, A.E.; Scheichl, R.; … - In: Stochastic Processes and their Applications 124 (2014) 2, pp. 985-1010
In Kuznetsov et al. (2011) a new Monte Carlo simulation technique was introduced for a large family of Lévy processes that is based on the Wiener–Hopf decomposition. We pursue this idea further by combining their technique with the recently introduced multilevel Monte Carlo methodology....
