Scott Sues

University of Queensland - School of Mathematics and Physics

Brisbane

St Lucia, QLD 4072

Australia

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Scholarly Papers (1)

1.

A Dimension and Variance Reduction Monte-Carlo Method for Option Pricing under Jump-Diffusion Models

Number of pages: 35 Posted: 09 Sep 2017
University of Queensland - School of Mathematics and Physics, University of Toronto - Department of Computer Science and University of Queensland - School of Mathematics and Physics
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Citation 1

Abstract:

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conditional Monte Carlo, variance reduction, dimension reduction, partial-integro~differential~equations, jump diffusions, fast Fourier transform, normal, double-exponential