Browse by: Author name - Classification - Keywords - Nature

2 matches found
XLIII: 09, 221-239, LNM 2006 (2011)
MAROUBY, Matthieu
Simulation of a Local Time Fractional Stable Motion (Theory of processes)
Keywords: Stable processes, Self-similar processes, Shot noise series, Local times, Fractional Brownian motion, Simulation
Nature: Original
XLV: 15, 365-400, LNM 2078 (2013)
PAGÈS, Gilles
Functional Co-monotony of Processes with Applications to Peacocks and Barrier Options (Theory of processes)
Keywords: Co-monotony, antithetic simulation method, processes with independent increments, Liouville processes, fractional Brownian motion, Asian options, sensitivity, barrier options
Nature: Original