Efficiently pricing continuously monitored barrier options under stochastic volatility model with jumps (Q3174919): Difference between revisions

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+Exact simulation of final, minimal and maximal values of Brownian motion and jump-diffusions with applications to option pricing
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+Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
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+Exact simulation of jump-diffusion processes with Monte Carlo applications
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+EXACT PRICING WITH STOCHASTIC VOLATILITY AND JUMPS
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+Transform Analysis and Asset Pricing for Affine Jump-diffusions
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+A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
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+Efficient simulation of a multi-factor stochastic volatility model
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+Good Path Generation Methods in Quasi-Monte Carlo for Pricing Financial Derivatives
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Q4004325
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+Option pricing when underlying stock returns are discontinuous
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+CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES
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+Weak Convergence Methods for Approximation of the Evaluation of Path-Dependent Functionals
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