COMPUTATIONAL ASPECTS OF MONTE-CARLO SIMULATIONS OF THE FIRST PASSAGE TIME FOR MULTIVARIATE TRANSFORMED BROWNIAN MOTIONS WITH JUMPS (Q2971845): Difference between revisions
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Latest revision as of 16:25, 13 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | COMPUTATIONAL ASPECTS OF MONTE-CARLO SIMULATIONS OF THE FIRST PASSAGE TIME FOR MULTIVARIATE TRANSFORMED BROWNIAN MOTIONS WITH JUMPS |
scientific article |
Statements
COMPUTATIONAL ASPECTS OF MONTE-CARLO SIMULATIONS OF THE FIRST PASSAGE TIME FOR MULTIVARIATE TRANSFORMED BROWNIAN MOTIONS WITH JUMPS (English)
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7 April 2017
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first passage time
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Monte Carlo simulation
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multivariate jump-diffusion processes
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credit risk
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option pricing
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Brownian bridge simulations
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large deviations methodologies
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complex systems
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