Exact simulation of final, minimal and maximal values of Brownian motion and jump-diffusions with applications to option pricing
Year of publication: |
2010
|
---|---|
Authors: | Becker, Martin |
Published in: |
Computational Management Science. - Springer. - Vol. 7.2010, 1, p. 1-17
|
Publisher: |
Springer |
Subject: | Brownian motion | Monte Carlo simulation | Jump-diffusions | Double barrier options | Importance sampling |
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