Publisher
Springer International Publishing
Reference37 articles.
1. Cont, R., Tankov, P.: Financial Modelling with Jump Processes, 2nd edn. Chapman & Hall/CRC, Boca Raton (2008)
2. Boyarchenko, S.I., Levendorskiǐ, S.Z.: Non-Gaussian Merton-Black-Scholes Theory. World Scientific Publishing, River Edge (2002)
3. Kuznetsov, A., Kyprianou, A.E., Pardo, J.C., van Schaik, K.: A Wiener-Hopf Monte Carlo simulation technique for Lévy processes. Ann. Appl. Probab. 21, 2171–2190 (2011)
4. Kudryavtsev, O.E.: Approximate Wiener–Hopf factorization and Monte Carlo methods for Lev́y processes. Theory Probab. Appl. 64, 186–208, (2019)
5. Beliavsky, G., Danilova, N., Ougolnitsky, G.: Calculation of probability of the exit of a stochastic process from a band by Monte-Carlo method: a Wiener-Hopf factorization. Mathematics 7, 581 (2019)
Cited by
2 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献