Geometrically Convergent Simulation of the Extrema of Lévy Processes
Geometrically Convergent Simulation of the Extrema of Lévy Processes
We develop a novel approximate simulation algorithm for the joint law of the position, the running supremum and the time of the supremum of a general L\'evy process at an arbitrary finite time. We identify the law of the error in simple terms. We prove that the error decays geometrically …