Localization and Exact Simulation of Brownian Motion-Driven Stochastic Differential Equations
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Publication:5169681
DOI10.1287/moor.2013.0585zbMath1291.65011OpenAlexW1995529116MaRDI QIDQ5169681
Publication date: 11 July 2014
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/4655c31478dee4deed1c0d1443a17ff5c3e74d09
option pricingstochastic differential equationsMonte Carlo simulationlocalizationexact simulation method
Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30)
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