Multilevel path simulation for jump-diffusion SDEs (Q5326141)
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scientific article; zbMATH DE number 6193394
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Multilevel path simulation for jump-diffusion SDEs |
scientific article; zbMATH DE number 6193394 |
Statements
Multilevel Path Simulation for Jump-Diffusion SDEs (English)
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31 July 2013
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multilevel Monte Carlo path simulation method
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jump-diffusion SDEs
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finite rate activity
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option pricing
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0.8621854186058044
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0.7999218702316284
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0.79213547706604
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0.7909798622131348
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