A Control Variate Method for Monte Carlo Simulations of Heath–Jarrow–Morton Models with Jumps (Q5440089)
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scientific article; zbMATH DE number 5231512
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Control Variate Method for Monte Carlo Simulations of Heath–Jarrow–Morton Models with Jumps |
scientific article; zbMATH DE number 5231512 |
Statements
A Control Variate Method for Monte Carlo Simulations of Heath–Jarrow–Morton Models with Jumps (English)
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31 January 2008
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HJM model
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jump process
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bond option prices
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control variate
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Monte Carlo simulations
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