Open AccessSimulation of Lévy-Driven models and its application in finance
Author(s) -
Rachel R. Chen,
Jian-Qiang Hu,
Chunyi Peng
Publication year - 2012
Publication title -
numerical algebra control and optimization
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.303
H-Index - 20
eISSN - 2155-3289
pISSN - 2155-3297
DOI - 10.3934/naco.2012.2.749
Subject(s) - monte carlo method , sensitivity (control systems) , computer science , stochastic volatility , derivative (finance) , estimation , estimation theory , mathematical optimization , econometrics , volatility (finance) , stochastic simulation , finance , algorithm , mathematics , economics , statistics , engineering , management , electronic engineering
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