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Numerical methods for Lévy processes

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We survey the use and limitations of some numerical methods for pricing derivative contracts in multidimensional geometric Lévy models.

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  1. Seminar for Applied Mathematics, ETH Zurich, Raemistrasse 101, 8092, Zurich, Switzerland

    N. Hilber, N. Reich, C. Schwab & C. Winter

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  1. N. Hilber
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Hilber, N., Reich, N., Schwab, C. et al. Numerical methods for Lévy processes. Finance Stoch 13, 471–500 (2009). https://doi.org/10.1007/s00780-009-0100-5

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