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Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation (2020)

First Author: Cázares J

Attributed to: Coupling and Control in Continuous Time funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.48550/arxiv.2011.06618

Publication URI: https://arxiv.org/abs/2011.06618

Type: Other