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Momte Carlo Simulation of killed diffusion

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  • Hausenblas Erika

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  • Hausenblas Erika, 2000. "Momte Carlo Simulation of killed diffusion," Monte Carlo Methods and Applications, De Gruyter, vol. 6(4), pages 263-296, December.
    • Handle: RePEc:bpj:mcmeap:v:6:y:2000:i:4:p:263-296:n:1
    DOI: 10.1515/mcma.2000.6.4.263
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    References listed on IDEAS

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    1. Gobet, Emmanuel, 2000. "Weak approximation of killed diffusion using Euler schemes," Stochastic Processes and their Applications, Elsevier, vol. 87(2), pages 167-197, June.
    2. Eckhard Platen, 1999. "An Introduction to Numerical Methods for Stochastic Differential Equations," Research Paper Series 6, Quantitative Finance Research Centre, University of Technology, Sydney.
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