This paper presents a set of schemes for the fast and accurate inversion of analytic characteristic functions. The schemes are based on sinc expansion approximation of functions that are analytic in a horizontal strip in the complex plane. A function in this class can be reconstructed highly...

The simulation of a discrete sample path of a Levy process reduces to simulating from the distribution of a Levy increment. For a general Levy process with exponential moments, the inverse transform method proposed in Glasserman and Liu 2010 [24] is reliable and efficient. The values of the...