Bond Pricing with Jumps and Monte Carlo Simulation

DOI10.1007/11758501_9zbMATH Open1155.91354OpenAlexW1535462923MaRDI QIDQ3545008FDOQ3545008

Authors: Kisoeb Park, Moonseong Kim, Seki Kim 

Publication date: 9 December 2008

Published in: Computational Science – ICCS 2006 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/11758501_9

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Mathematics Subject Classification ID

Monte Carlo methods (65C05) Microeconomic theory (price theory and economic markets) (91B24)

Cited In (4)

• A Control Variate Method for Monte Carlo Simulations of Heath–Jarrow–Morton Models with Jumps
• Stochastic Simulation Method for the Term Structure Models with Jump
• Simulation Analysis for the Pricing of Bond Option on Arbitrage-Free Models with Jump
• On Monte Carlo Simulation for the HJM Model Based on Jump

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