Open AccessUsing Monte Carlo simulation and importance sampling to rapidly obtain jump-diffusion prices of continuous barrier options
Author(s) -
Mark S. Joshi,
Terence S. Leung
Publication year - 2007
Publication title -
the journal of computational finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.677
H-Index - 14
eISSN - 1755-2850
pISSN - 1460-1559
DOI - 10.21314/jcf.2007.170
Subject(s) - jump diffusion , jump , monte carlo method , computational finance , sampling (signal processing) , diffusion , computer science , importance sampling , mathematical optimization , statistical physics , mathematics , statistics , physics , thermodynamics , filter (signal processing) , quantum mechanics , computer vision
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