Zisheng Chen

Department of Industrial and Enterprise Systems Engineering

IL

United States

SCHOLARLY PAPERS

1

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665

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6

Scholarly Papers (1)

1.

Simulating Levy Processes from Their Characteristic Functions and Financial Applications

ACM Transactions on Modeling and Computer Simulation, Forthcoming
Number of pages: 33 Posted: 11 Jan 2012
Zisheng Chen, Liming Feng and Xiong Lin
Department of Industrial and Enterprise Systems Engineering, University of Illinois at Urbana-Champaign - Department of Industrial and Enterprise Systems Engineering and University of Illinois at Urbana-Champaign, Department of Mathematics
Downloads 665 (75,863)
Citation 5

Abstract:

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levy process, randomized quasi-Monte Carlo method, inverse transform method, Hilbert transform, analytic characteristic function, discrete Asian option, control variates