Exact simulation of final, minimal and maximal values of Brownian motion and jump-diffusions with applications to option pricing (Q2655744)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | 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 final, minimal and maximal values of Brownian motion and jump-diffusions with applications to option pricing (English)
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26 January 2010
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Brownian motion
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Monte Carlo simulation
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jump-diffusions
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double barrier options
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importance sampling
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