A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps
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More about this item
KeywordsHJM model; jump process; bond option prices; control variate; Monte Carlo simulation;
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-10-29 (All new papers)
- NEP-CMP-2005-10-29 (Computational Economics)
- NEP-FIN-2005-10-29 (Finance)
- NEP-MAC-2005-10-29 (Macroeconomics)
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