"Geometrically Convergent Simulation of the Extrema of Lévy Processes."

Jorge Ignacio González Cázares, Aleksandar Mijatovic, Gerónimo Uribe Bravo (2022)

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DOI: 10.1287/MOOR.2021.1163

access: closed

type: Journal Article

metadata version: 2022-10-02

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Jorge Ignacio González Cázares, Aleksandar Mijatovic, Gerónimo Uribe Bravo:
Geometrically Convergent Simulation of the Extrema of Lévy Processes. Math. Oper. Res. 47(2): 1141-1168 (2022)

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