Exact simulation of final, minimal and maximal values of Brownian motion and jump-diffusions with applications to option pricing
| Year of publication: |
2010
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|---|---|
| Authors: | Becker, Martin |
| Published in: |
Computational Management Science. - Springer. - Vol. 7.2010, 1, p. 1-17
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| Publisher: |
Springer |
| Subject: | Brownian motion | Monte Carlo simulation | Jump-diffusions | Double barrier options | Importance sampling |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10008458187