Using Brownian bridge for fast simulation of jump-diffusion processes and barrier options
Year of publication: |
2002
|
---|---|
Authors: | Metwally, Steve A. K. ; Atiya, Amir F. |
Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 10.2002, 1, p. 43-54
|
Subject: | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation | Optionsgeschäft | Option trading | Theorie | Theory |
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