A multi-level dimension reduction Monte-Carlo method for jump-diffusion models
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Publication:2360709
DOI10.1016/j.cam.2017.04.014zbMath1367.65007OpenAlexW2337296382MaRDI QIDQ2360709
Publication date: 4 July 2017
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2017.04.014
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Related Items (4)
A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model ⋮ A dimension reduction Shannon-wavelet based method for option pricing ⋮ Mixing LSMC and PDE Methods to Price Bermudan Options ⋮ A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models
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