Simulation of jump diffusions and the pricing of options
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Cites work
- scientific article; zbMATH DE number 635670 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- A jump-diffusion model for option pricing
- A theory of the term structure of interest rates
- Calibration and hedging under jump diffusion
- Estimation of the coefficients of a diffusion from discrete observations
- Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
- Exact simulation of diffusions
- Monte Carlo simulation and finance.
- Monte Carlo strategies in scientific computing
- Monte carlo evaluation of functionals of solutions of stochastic differential equations. variance reduction and numerical examples
- Option pricing when underlying stock returns are discontinuous
- Pricing and Hedging Path-Dependent Options Under the CEV Process
- Retrospective exact simulation of diffusion sample paths with applications
- The law of the maximum of a Bessel bridge
- Undiased monte carlo estimators for functionals of weak solutions of stochastic diffretial equations
- Volatility skews and extensions of the Libor market model
Cited in
(12)- Measuring impact of random jumps without sample path generation
- A numerical method to price discrete double barrier options under a constant elasticity of variance model with jump diffusion
- American-style options in jump-diffusion models: estimation and evaluation
- Numerical simulations for the pricing of options in jump diffusion markets
- scientific article; zbMATH DE number 1222808 (Why is no real title available?)
- Lookback option pricing for regime-switching jump diffusion models
- Nearly exact option price simulation using characteristic functions
- Simulation Analysis for the Pricing of Bond Option on Arbitrage-Free Models with Jump
- A fast algorithm for the first-passage times of Gauss-Markov processes with Hölder continuous boundaries
- Exact simulation of final, minimal and maximal values of Brownian motion and jump-diffusions with applications to option pricing
- Monte Carlo applied to exotic digital options
- Simulation of extremes of diffusions
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