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Momte Carlo Simulation of killed diffusion

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  • Hausenblas Erika

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  • Hausenblas Erika, 2000. "Momte Carlo Simulation of killed diffusion," Monte Carlo Methods and Applications, De Gruyter, vol. 6(4), pages 263-296, December.
    • Handle: RePEc:bpj:mcmeap:v:6:y:2000:i:4:p:263-296:n:1
    DOI: 10.1515/mcma.2000.6.4.263
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    References listed on IDEAS

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    1. Eckhard Platen, 1999. "An Introduction to Numerical Methods for Stochastic Differential Equations," Research Paper Series 6, Quantitative Finance Research Centre, University of Technology, Sydney.
    2. Gobet, Emmanuel, 2000. "Weak approximation of killed diffusion using Euler schemes," Stochastic Processes and their Applications, Elsevier, vol. 87(2), pages 167-197, June.
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