Stochastic Simulation Method for the Term Structure Models with Jump

DOI10.1007/11751595_110zbMath1172.91323OpenAlexW1814237397MaRDI QIDQ3600184

Moonseong Kim, Kisoeb Park, Seki Kim

Publication date: 10 February 2009

Published in: Computational Science and Its Applications - ICCSA 2006 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/11751595_110

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30)

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