Using Brownian Bridge for Fast Simulation of Jump-Diffusion Processes and Barrier Options

2002 ◽  
Vol 10 (1) ◽  
pp. 43-54 ◽  
Author(s):  
Steve A.K. Metwally ◽  
Amir F. Atiya
Keyword(s):  
Diffusion Processes ◽  
Brownian Bridge ◽  
Jump Diffusion ◽  
Barrier Options ◽  
Fast Simulation ◽  
Jump Diffusion Processes

Implicit–explicit numerical schemes for jump–diffusion processes

CALCOLO ◽  
2007 ◽  
Vol 44 (1) ◽  
pp. 33-57 ◽  
Author(s):  
Maya Briani ◽  
Roberto Natalini ◽  
Giovanni Russo
Keyword(s):  
Diffusion Processes ◽  
Jump Diffusion ◽  
Numerical Schemes ◽  
Jump Diffusion Processes
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