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Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation (2022)

First Author: González Cázares J

Attributed to: DMS-EPSRC: Fast martingales, large deviations and randomised gradients for heavy-tailed target distributions funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1007/s00780-022-00486-7

Publication URI: http://dx.doi.org/10.1007/s00780-022-00486-7

Type: Journal Article/Review

Parent Publication: Finance and Stochastics

Issue: 4