Efficiently pricing continuously monitored barrier options under stochastic volatility model with jumps
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Publication:3174919
DOI10.1080/00207160.2016.1210796zbMath1416.91406OpenAlexW2470652588MaRDI QIDQ3174919
Publication date: 18 July 2018
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160.2016.1210796
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)
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