Using Monte Carlo simulation and importance sampling to rapidly obtain jump-diffusion prices of continuous barrier options
Year of publication: |
2007
|
---|---|
Authors: | Joshi, Mark S. ; Leung, Terence S. |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 10.2006/07, 4, p. 93-105
|
Subject: | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory |
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