Work

A Monte Carlo Method for the Simulation of First Passage Times of Diffusion Processes

Year: 2001

Type: article

Source: Methodology And Computing In Applied Probability

DOI: 10.1023/a:1012261328124

Authors: Maria Teresa Giraudo, Laura Sacerdote, Cristina Zucca

Institution: University of Turin

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funder: Centre National de la Recherche Scientifique

OpenAlex ID: W52044255

FWCI: 2.822

Cites: 12

Cited by: 53

Related to: 10