Work

Exact Simulation of Option Greeks under Stochastic Volatility and Jump Diffusion Models

Year: 2005

Type: conference-paper

Source: Winter Simulation Conference

DOI: 10.1109/wsc.2004.1371506

Authors: M. Broadie, O. Kaya

Institution: Columbia University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funder: National Science Foundation

OpenAlex ID: W4239942844

FWCI: 8.137

Cites: 10

Cited by: 24

Related to: 10