Exact Simulation of Jump-Diffusion Processes with Monte Carlo Applications

Methodology and Computing in Applied Probability

Volumn 13, Issue 3, 2011, Pages 449-473

  Casella, Bruno ^a   Roberts, Gareth O ^a  

^a UNIVERSITY OF WARWICK   (United Kingdom)

Author keywords

Barrier option pricing; Exact Algorithms; Jump diffusion; Simulation

Indexed keywords

EID: 79960337921     PISSN: 13875841     EISSN: 15737713     Source Type: Journal    
DOI: 10.1007/s11009-009-9163-1     Document Type: Article

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