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]
@article{ChenFL12-1,
title = {Simulating Lévy Processes from Their Characteristic Functions and Financial Applications},
author = {Zisheng Chen and Liming Feng and Xiong Lin},
year = {2012},
doi = {10.1145/2331140.2331142},
url = {http://doi.acm.org/10.1145/2331140.2331142},
researchr = {https://researchr.org/publication/ChenFL12-1},
cites = {0},
citedby = {0},
journal = {ACM Trans. Model. Comput. Simul.},
volume = {22},
number = {3},
pages = {14},
}