Terence Leung

University College London

Gower Street

London, WC1E 6BT

Great Britain

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Using Monte Carlo Simulation and Importance Sampling to Rapidly Obtain Jump-Diffusion Prices of Continuous Barrier Options

Number of pages: 15 Posted: 12 Jun 2006
Mark S. Joshi and Terence Leung
University of Melbourne - Centre for Actuarial Studies (deceased) and University College London
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Citation 7

Abstract:

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jump-diffusion, barrier option, Monte Carlo, importance sampling