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Monte Carlo method for value of exotic options in the diffusion model with jumps (Q2896632)

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scientific article; zbMATH DE number 6056385
Language Label Description Also known as
English
Monte Carlo method for value of exotic options in the diffusion model with jumps
scientific article; zbMATH DE number 6056385

    Statements

    author
    A. A. Simogin
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    publication date
    16 July 2012
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    zbMATH Keywords
    exotic option
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    jump diffusion model
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    Euler scheme
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    MCMC method
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    title
    Monte Carlo method for value of exotic options in the diffusion model with jumps (English)
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    62P05
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    91G60
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    65C05
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    zbMATH DE Number
    6056385
    0 references
     
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