Efficient Monte Carlo barrier option pricing when the underlying security price follows a jump-diffusion process
Sheldon M. Ross and Samim Ghamami
| Year of publication: |
2010
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|---|---|
| Authors: | Ross, Sheldon M. ; Ghamami, Samim |
| 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. 17.2009/10, 3, p. 45-52
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| Subject: | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Börsenkurs | Share price | Monte-Carlo-Simulation | Monte Carlo simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003961017