Applications of simulation methods to barrier options driven by Lévy processes.
Roşca, Alin V.; Roşca, Natalia C.
Acta Universitatis Apulensis. Mathematics - Informatics (2010)
- Volume: 24, page 279-293
- ISSN: 1582-5329
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topRoşca, Alin V., and Roşca, Natalia C.. "Applications of simulation methods to barrier options driven by Lévy processes.." Acta Universitatis Apulensis. Mathematics - Informatics 24 (2010): 279-293. <http://eudml.org/doc/224552>.
@article{Roşca2010,
author = {Roşca, Alin V., Roşca, Natalia C.},
journal = {Acta Universitatis Apulensis. Mathematics - Informatics},
keywords = {mixed Monte Carlo method; quasi-Monte Carlo method; Lévy processes},
language = {eng},
pages = {279-293},
publisher = {"1 Decembrie 1918" University of Alba Iulia, Department of Mathematics and Informatics},
title = {Applications of simulation methods to barrier options driven by Lévy processes.},
url = {http://eudml.org/doc/224552},
volume = {24},
year = {2010},
}
TY - JOUR
AU - Roşca, Alin V.
AU - Roşca, Natalia C.
TI - Applications of simulation methods to barrier options driven by Lévy processes.
JO - Acta Universitatis Apulensis. Mathematics - Informatics
PY - 2010
PB - "1 Decembrie 1918" University of Alba Iulia, Department of Mathematics and Informatics
VL - 24
SP - 279
EP - 293
LA - eng
KW - mixed Monte Carlo method; quasi-Monte Carlo method; Lévy processes
UR - http://eudml.org/doc/224552
ER -
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