17 search results - page 4 / 4 » Efficient Pricing of Barrier Options with the Variance-Gamma... |
IOR
2006
13 years 5 months ago
2006
The stochastic differential equations for affine jump diffusion models do not yield exact solutions that can be directly simulated. Discretization methods can be used for simulati...
ASAP
2007
IEEE
13 years 9 months ago
2007
IEEE
Monte-Carlo simulations are used in many applications, such as option pricing and portfolio evaluation. Due to their high computational load and intrinsic parallelism, they are id...