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