Exact simulation of final, minimal and maximal values of Brownian motion and jump-diffusions with applications to option pricing-Reference-Cited by-同舟云学术

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Exact simulation of final, minimal and maximal values of Brownian motion and jump-diffusions with applications to option pricing

Published:2007-11-28 Issue:1 Volume:7 Page:1-17
ISSN:1619-697X
Container-title:Computational Management Science
language:en
Short-container-title:Comput Manag Sci

Author:

Becker Martin

Publisher

Springer Science and Business Media LLC

Subject

Information Systems,Management Information Systems

Link

http://link.springer.com/content/pdf/10.1007/s10287-007-0065-9.pdf

Reference19 articles.

1. Baldi P, Caramellino L and Iovino MG (1999). Pricing general barrier options: a numerical approach using sharp large deviations. Math Finance 9(4): 293–322

2. Ball CA and Torous WN (1984). The maximum likelihood estimation of security price volatility: theory, evidence and application to option pricing. J Bus 57(1): 97–112

3. Becker M, Friedmann R, Klößner S and Sanddorf-Köhle W (2007). A Hausman test for Brownian motion. AStA Adv Stat Anal 91(1): 3–21

4. Beckers S (1983). Variances of security price returns based on high, low and closing prices. J Bus 55(1): 97–112

5. Borodin AN, Salminen P (2002) Handbook of Brownian motion—facts and formulae. In: Probability and its applications, 2nd edn. Birkhäuser, Basel

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