Exact simulation of option Greeks under stochastic volatility and jump diffusion models

Proceedings - Winter Simulation Conference

Volumn 2, Issue , 2004, Pages 1607-1615

  Broadie, Mark ^a   Kaya, Özgür ^a  

^a Och Spine at New York Presbyterian Hospitals   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

ALGORITHMS; APPROXIMATION THEORY; COMPUTATIONAL METHODS; COMPUTER SIMULATION; FINITE DIFFERENCE METHOD; MATHEMATICAL MODELS; NUMERICAL METHODS; PROBABILITY DENSITY FUNCTION; RANDOM PROCESSES;

BLACK-SCHOLES SETTING; JUMP DIFFUSION MODELS; PATHWISE METHOD (PM); STOCHASTIC VOLATILITY;

MONTE CARLO METHODS;

EID: 17744385797     PISSN: 08917736     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (12)

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