Numerical methods for Lévy processes

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Author
Hilber, N.
Reich, N.
Schwab, Christoph
Winter, C.
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Date
2009
Type
    Journal Article
Rights / license
In Copyright - Non-Commercial Use Permitted
Permanent link
https://doi.org/10.3929/ethz-b-000019762
Publication status
published
External links
Journal / series
Finance and Stochastics
Volume
13(4)
Pages / Article No.
471 - 500
Publisher
Springer
Subject
Multidimensional Lévy processes; Numerical methods; Asset pricing
Organisational unit
03435 - Schwab, Christoph / Schwab, Christoph  
Notes
Received 25 March 2008, Accepted 30 May 2008, Published online 11 July 2009. It was possible to publish this article open access thanks to a Swiss National Licence with the publisher
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