A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps

Author: Chiarella Carl   Sklibosios Christina Nikitopoulos   Schlögl Erik  

Publisher: Routledge Ltd

ISSN: 1466-4313

Source: Applied Mathematical Finance, Vol.14, Iss.5, 2007-12, pp. : 365-399

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract