Multilevel Monte Carlo method for jump-diffusion SDEs
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- Nicola Bruti-Liberati & Eckhard Platen, 2005. "On the Strong Approximation of Jump-Diffusion Processes," Research Paper Series 157, Quantitative Finance Research Centre, University of Technology, Sydney.
- Nicola Bruti-Liberati, 2007. "Numerical Solution of Stochastic Differential Equations with Jumps in Finance," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1.
- Merton, Robert C., 1976.
"Option pricing when underlying stock returns are discontinuous,"
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- 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.
- Nicolas Merener & Paul Glasserman, 2003. "Numerical solution of jump-diffusion LIBOR market models," Finance and Stochastics, Springer, vol. 7(1), pages 1-27.
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- Mike Giles & Lukasz Szpruch, 2012. "Multilevel Monte Carlo methods for applications in finance," Papers 1212.1377, arXiv.org.
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