Applying the Wiener-Hopf Monte Carlo Simulation Technique for Lévy Processes to Path Functionals

Albert Ferreiro-Castilla, Kees van Schaik. Applying the Wiener-Hopf Monte Carlo Simulation Technique for Lévy Processes to Path Functionals. J. Applied Probability, 52(1):129-148, 2015. [doi]

Abstract

Abstract is missing.