New methods of simulating Lévy processes

Jing Zheng, Zhengyan Lin, Changqing Tong and Rendao Ye

Physica A: Statistical Mechanics and its Applications, 2017, vol. 473, issue C, 461-466

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.

Keywords: Lévy process; Algorithm; Simulation (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:473:y:2017:i:c:p:461-466

DOI: 10.1016/j.physa.2017.01.031

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