Simulation of jump diffusions and the pricing of options
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References listed on IDEAS
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Cited by:
- Fernández Lexuri & Hieber Peter & Scherer Matthias, 2013. "Double-barrier first-passage times of jump-diffusion processes," Monte Carlo Methods and Applications, De Gruyter, vol. 19(2), pages 107-141, July.
- Metzler Adam & Scott Alexandre, 2014. "Rare event simulation for diffusion processes via two-stage importance sampling," Monte Carlo Methods and Applications, De Gruyter, vol. 20(2), pages 77-100, June.
- Hatem Ben-Ameur & Rim Chérif & Bruno Rémillard, 2016. "American-style options in jump-diffusion models: estimation and evaluation," Quantitative Finance, Taylor & Francis Journals, vol. 16(8), pages 1313-1324, August.
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