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Multilevel Path Simulation for Jump-Diffusion SDEs
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Multilevel Path Simulation for Jump-Diffusion SDEs (2012)Multilevel Path Simulation for Jump-Diffu…A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations (2011)A multilevel Monte Carlo algo…Numerical Solution of Stochastic Differential Equations with Jumps in Finance (2010)Numerical Solution of Stochas…Multilevel Monte Carlo algorithms for Lévy-driven SDEs with Gaussian correction (2010)Multilevel Monte Carlo algori…Multilevel quasi-Monte Carlo path simulation (2009)Multilevel quasi-Monte Carlo …Multilevel Monte Carlo Path Simulation (2008)Multilevel Monte Carlo Path S…Improved Multilevel Monte Carlo Convergence using the Milstein Scheme (2007)Improved Multilevel Monte Car…Convergence of a discretization scheme for jump-diffusion processes with state–dependent intensities (2004)Convergence of a discretizati…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Multilevel Monte Carlo method for ergodic SDEs without contractivity (2019)Multilevel Monte Carlo method…Hedging of contingent claims under incomplete information (1990)Bond Market Structure in the Presence of Marked Point Processes (1997)Asymptotic error distributions for the Euler method for stochastic differential equations (1998)Monte Carlo and Quasi-Monte Carlo Methods (2013)Disentangling the stochastic behavior of complex time series (2016)Consumer Scores and Price Discrimination (2019)Lévy Processes and Stochastic Calculus (2004)Stochastic Integration and Differential Equations (2005)Least-Squares Monte Carlo for Backward SDEs (2012)Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations (2013)Numerical simulations and modeling for stochastic biological systems with jumps (2013)Numerical solution of stochastic differential equations (2016)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Fast drift-approximated pricing in the BGM model (2004)Approximation of jump diffusions in finance and economics (2007)Adaptive Weak Approximation of Diffusions with Jumps (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Multi-level Monte Carlo Finite Element method for elliptic PDEs with stochastic coefficients (2011)Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients (2012)Optimal Model Management for Multifidelity Monte Carlo Estimation (2016)The law of the Euler scheme for stochastic differential equations (1996)Stochastic ordinary differential equations in applied and computational mathematics (2011)Mean Exit Times and the Multilevel Monte Carlo Method (2013)Scheduling Massively Parallel Multigrid for Multilevel Monte Carlo Methods (2017)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Multilevel Monte Carlo method with applications to stochastic partial differential equations (2012)Multilevel Monte Carlo simulation for Lévy processes based on the Wiener–Hopf factorisation (2013)Multilevel Richardson–Romberg extrapolation (2017)An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process (2011)Unbiased Estimation with Square Root Convergence for SDE Models (2015)
this work references cited by second hop

References

  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2003Monte Carlo Methods in Financial Engineering3,917 cited
  • 2003Financial Modelling with Jump Processes3,261 cited
  • 2008Multilevel Monte Carlo Path Simulation1,445 cited
  • 2010Numerical Solution of Stochastic Differential Equations with Jumps in Finance466 cited
  • 2007Improved Multilevel Monte Carlo Convergence using the Milstein Scheme205 cited
  • 2010Multilevel Monte Carlo algorithms for Lévy-driven SDEs with Gaussian correction98 cited
  • 2009Multilevel quasi-Monte Carlo path simulation92 cited
  • 2011A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations59 cited
  • 2004Convergence of a discretization scheme for jump-diffusion processes with state–dependent intensities45 cited

Cited by

  • 2019Multilevel Monte Carlo method for ergodic SDEs without contractivity21 cited

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