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Exact simulation of final, minimal and maximal values of Brownian motion and jump-diffusions with applications to option pricing

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  • Martin Becker

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  • Martin Becker, 2010. "Exact simulation of final, minimal and maximal values of Brownian motion and jump-diffusions with applications to option pricing," Computational Management Science, Springer, vol. 7(1), pages 1-17, January.
  • Handle: RePEc:spr:comgts:v:7:y:2010:i:1:p:1-17 DOI: 10.1007/s10287-007-0065-9
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    References listed on IDEAS

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    1. Garman, Mark B & Klass, Michael J, 1980. "On the Estimation of Security Price Volatilities from Historical Data," The Journal of Business, University of Chicago Press, vol. 53(1), pages 67-78, January.
    2. Martin Becker & Ralph Friedmann & Stefan Klößner & Walter Sanddorf-Köhle, 2007. "A Hausman test for Brownian motion," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 91(1), pages 3-21, March.
    3. Michael W. Brandt & Francis X. Diebold, 2006. "A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations," The Journal of Business, University of Chicago Press, vol. 79(1), pages 61-74, January.
    4. Parkinson, Michael, 1980. "The Extreme Value Method for Estimating the Variance of the Rate of Return," The Journal of Business, University of Chicago Press, vol. 53(1), pages 61-65, January.
    5. Merton, Robert C., 1975. "Option pricing when underlying stock returns are discontinuous," Working papers 787-75., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    6. Hélyette Geman & Marc Yor, 1996. "Pricing And Hedging Double-Barrier Options: A Probabilistic Approach," Mathematical Finance, Wiley Blackwell, vol. 6(4), pages 365-378.
    7. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
    8. Paolo Baldi & Lucia Caramellino & Maria Gabriella Iovino, 1999. "Pricing General Barrier Options: A Numerical Approach Using Sharp Large Deviations," Mathematical Finance, Wiley Blackwell, vol. 9(4), pages 293-321.
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    Cited by:

    1. Ren Jiandong, 2016. "On the Use of Long-Term Risk Measures as an Approach to Communicating Risks," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 10(1), pages 45-55, January.
    2. Klößner, Stefan & Becker, Martin & Friedmann, Ralph, 2012. "Modeling and measuring intraday overreaction of stock prices," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1152-1163.

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