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New methods of simulating Lévy processes

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  • Zheng, Jing
  • Lin, Zhengyan
  • Tong, Changqing
  • Ye, Rendao

Abstract

Two new methods of simulating Lévy processes are presented in this paper. The first one is to simulate the small jump part of a Lévy process by the classical rejection method, which can generate the exact sampling. The second is to simulate the Lévy process by the compound Poisson process with corrected density at zero, it is efficient, robust, and can be used in multivariate setting.

Suggested Citation

  • Zheng, Jing & Lin, Zhengyan & Tong, Changqing & Ye, Rendao, 2017. "New methods of simulating Lévy processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 473(C), pages 461-466.
    • Handle: RePEc:eee:phsmap:v:473:y:2017:i:c:p:461-466
    DOI: 10.1016/j.physa.2017.01.031
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    References listed on IDEAS

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    1. Alaya, Mohamed Ben & Hajji, Kaouther & Kebaier, Ahmed, 2016. "Importance sampling and statistical Romberg method for Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 126(7), pages 1901-1931.
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    Cited by:

    1. Berry, James & Mehta, Saurabh & Mukherjee, Priya & Ruebeck, Hannah & Shastry, Gauri Kartini, 2021. "Crowd-out in school-based health interventions: Evidence from India’s midday meals program," Journal of Public Economics, Elsevier, vol. 204(C).

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