Pages that link to "Item:Q2655744"
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The following pages link to Exact simulation of final, minimal and maximal values of Brownian motion and jump-diffusions with applications to option pricing (Q2655744):
Displaying 8 items.
- Towards the exact simulation using hyperbolic Brownian motion (Q1684776) (← links)
- An efficient algorithm for simulating the drawdown stopping time and the running maximum of a Brownian motion (Q1703026) (← links)
- Binomial approximation of Brownian motion and its maximum (Q1771464) (← links)
- Brownian meanders, importance sampling and unbiased simulation of diffusion extremes (Q1939714) (← links)
- Sample recycling method -- a new approach to efficient nested Monte Carlo simulations (Q2155860) (← links)
- Multilevel Monte Carlo Implementation for SDEs Driven by Truncated Stable Processes (Q2957022) (← links)
- Simulation of extremes of diffusions (Q3086525) (← links)
- Efficiently pricing continuously monitored barrier options under stochastic volatility model with jumps (Q3174919) (← links)