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Items for "series representation"

An importance sampling method based on the density transformation of Lévy processes

In this paper, we develop an importance sampling method with the help of flexible control on the Lévy measure in the density transformation...

Keywords: CGMY process, Esscher transform, Gamma process, Meixner process, Monte Carlo simulations, series representation, subordination, variance reduction

04/2006 | Monte Carlo Methods and Applications, Walter de Gruyter