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]

@article{Ferreiro-Castilla15,
  title = {Applying the Wiener-Hopf Monte Carlo Simulation Technique for Lévy Processes to Path Functionals},
  author = {Albert Ferreiro-Castilla and Kees van Schaik},
  year = {2015},
  doi = {10.1017/S0021900200012249},
  url = {http://dx.doi.org/10.1017/S0021900200012249},
  researchr = {https://researchr.org/publication/Ferreiro-Castilla15},
  cites = {0},
  citedby = {0},
  journal = {J. Applied Probability},
  volume = {52},
  number = {1},
  pages = {129-148},
}