Simulation of tempered stable Lévy bridges and its applications
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 | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Simulation | Stichprobenerhebung | Sampling | Schätztheorie | Estimation theory |
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