Using brownian bridge for fast simulation of jump-diffusion processes and barrier options

Journal of Derivatives

Volumn 10, Issue 1, 2002, Pages 43-54

  Metwally, Steve A K ^a   Atiya, Amir F ^b  

^a LEHMAN BROTHERS   (United States)

^b CAIRO UNIVERSITY   (Egypt)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 4944253258     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.2002.319189     Document Type: Article

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