Exact simulation of jump-diffusion processes with Monte Carlo applications

DOI10.1007/s11009-009-9163-1zbMath1237.60067OpenAlexW2116521838MaRDI QIDQ660166

Gareth O. Roberts, Bruno Casella

Publication date: 26 January 2012

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: http://wrap.warwick.ac.uk/35492/1/WRAP_Casella_08-19w.pdf

zbMATH Keywords

simulationexact algorithmbarrier option pricingjump diffusion

Mathematics Subject Classification ID

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

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