Exact simulation of jump-diffusion processes with Monte Carlo applications
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Publication:660166
DOI10.1007/s11009-009-9163-1zbMath1237.60067OpenAlexW2116521838MaRDI QIDQ660166
Gareth O. Roberts, Bruno Casella
Publication date: 26 January 2012
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: http://wrap.warwick.ac.uk/35492/1/WRAP_Casella_08-19w.pdf
Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30)
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