Author:
Gormin Anatoly,Kashtanov Yuri
Publisher
Springer Berlin Heidelberg
Reference14 articles.
1. N. Bruti-Liberati and E. Platen. Strong approximations of stochastic equations with jumps. Journal of Computational and Applied Mathematics, 205(2):982–1001, 2007.
2. R. Cont and P. Tankov. Financial Modelling with Jump Processes. Chapman & Hall/CRC, Boca Raton, 2004.
3. S. M. Ermakov. The Monte Carlo method and related topics. Nauka, Moscow, 1975.
4. J. P. Fouque and C. H. Han. Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models. Quantitative Finance, 4(5):597–606, 2004.
5. J. P. Fouque and T. A. Tullie. Variance reduction for Monte Carlo simulation in a stochastic volatiltiy environment. Quantitative Finance, 2(1):24–30, 2002.
Cited by
1 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献