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$\varepsilon$-Strong simulation of the Brownian path
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$\varepsilon$-Strong simulation of the Brownian path (2012)$\varepsilon$-Strong simulation of the Br…Exact Monte Carlo simulation of killed diffusions (2008)Exact Monte Carlo simulation …A Factorisation of Diffusion Measure and Finite Sample Path Constructions (2008)A Factorisation of Diffusion …Exact retrospective Monte Carlo computation of arithmetic average Asian options (2007)Exact retrospective Monte Car…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Stochastic Differential Equations (2003)Stochastic Differential Equat…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Boundary crossing probability for Brownian motion (2001)Boundary crossing probability…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Pricing Barrier Options with Time–Dependent Coefficients (1997)Pricing Barrier Options with …The value of an Asian option (1995)The value of an Asian optionThéorie de la spéculation (1900)Théorie de la spéculationTheory of Financial Decision Making. (1988)A pricing method for options based on average asset values (1990)BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)The concept of comonotonicity in actuarial science and finance: applications (2002)The concept of comonotonicity in actuarial science and finance: theory (2002)Partial Differential Equations (2010)The joint density of the maximum and its location for a Wiener process with drift (1979)Discretization Error in Simulation of One-Dimensional Reflecting Brownian Motion (1995)EXACT SIMULATION OF THE 3/2 MODEL (2012)Localization and Exact Simulation of Brownian Motion-Driven Stochastic Differential Equations (2013)On the exact and $\varepsilon$-strong simulation of (jump) diffusions (2015)Numerical solution of stochastic differential equations (2016)Theory of Rational Option Pricing (1973)Stochastic Differential Equations: An Introduction with Applications. (1987)Theory of rational option pricing (2005)Sequential Analysis (1985)Testing for Structural Change in Dynamic Models (1988)Boundary crossing probability for Brownian motion and general boundaries (1997)Crossing Probabilities for Diffusion Processes with Piecewise Continuous Boundaries (2007)A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options (2010)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2006)Modelling of extremal events in insurance and finance (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Scaling behaviour in the dynamics of an economic index (1995)5 Stochastic volatility (1996)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Explicit Bounds for Approximation Rates of Boundary Crossing Probabilities for the Wiener Process (2005)On pricing barrier options with regime switching (2013)The Role of Portfolio Constraints in the International Propagation of Shocks (2008)Stochastic Differential Equations (2014)Numerical Solution of Stochastic Differential Equations (2016)
this work references cited by second hop

References

  • 2007Brownian Motion and Stochastic Calculus7,541 cited
  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 2003Monte Carlo Methods in Financial Engineering3,829 cited
  • 1900Théorie de la spéculation2,605 cited
  • 2003Stochastic Differential Equations2,108 cited
  • 1995The value of an Asian option532 cited
  • 2008A Factorisation of Diffusion Measure and Finite Sample Path Constructions99 cited
  • 2001Boundary crossing probability for Brownian motion96 cited
  • 1997Pricing Barrier Options with Time–Dependent Coefficients62 cited
  • 2008Exact Monte Carlo simulation of killed diffusions18 cited
  • 2007Exact retrospective Monte Carlo computation of arithmetic average Asian options18 cited

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