Efficient Evaluation of Expectations of Functions of a Stable Levy Process and Its Extremum
Author | : Svetlana Boyarchenko |
Publisher | : |
Total Pages | : 0 |
Release | : 2022 |
ISBN-10 | : OCLC:1375345432 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book Efficient Evaluation of Expectations of Functions of a Stable Levy Process and Its Extremum written by Svetlana Boyarchenko and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Integral representations for expectations of functions of a stable L 'evy process $X$ and its supremum $ bar X$ are derived. As examples, cumulative probability distribution functions (cpdf) of $X_T, barX_T$, the joint cpdf of $X_T$ and $ barX_T$, and the expectation of $( be X_T- barX_T)_+$, $ be>1$, are considered, and efficient numerical procedures for cpdfs are developed. The most efficient numerical methods use the conformal acceleration technique and simplified trapezoid rule.