Simulating Lévy Processes from Their Characteristic Functions and Financial Applications

Zisheng Chen, Liming Feng, Xiong Lin. Simulating Lévy Processes from Their Characteristic Functions and Financial Applications. ACM Trans. Model. Comput. Simul., 22(3):14, 2012. [doi]

Authors

Zisheng Chen

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Liming Feng

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Xiong Lin

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