Quasi-Monte Carlo methods for the Kou model
Author:
Publisher
Walter de Gruyter GmbH
Subject
Applied Mathematics,Statistics and Probability
Link
https://www.degruyter.com/document/doi/10.1515/MCMA.2008.012/pdf
Reference12 articles.
1. Approximations of small jumps of Lévy processes with a view towards simulation
2. Efficient Monte Carlo and Quasi–Monte Carlo Option Pricing Under the Variance Gamma Model
3. Valuation of mortgage-backed securities using Brownian bridges to reduce effective dimension
4. Simulation methods for valuing Asian option prices in a hyperbolic asset price model
5. A Jump-Diffusion Model for Option Pricing
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