Using Brownian Bridge for Fast Simulation of Jump-Diffusion Processes and Barrier Options

By Steve A. K. Metwally, Amir F. Atiya. 2002

119 citations recorded by the source corpus.

Subfields: Finance, Ocean Engineering

View Paper: https://www.semanticscholar.org/paper/88e50e3dec6a0f1657a359e4f24f947094e82454

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Peter A. Forsyth
2. Kenneth R. Vetzal
3. Yann d'Halluin
4. S. Clift
5. Jari Toivanen
6. Samuli Ikonen
7. Steven Kou
8. George Labahn

In Ocean Engineering

1. Yann d'Halluin
2. Peter A. Forsyth
3. Kenneth R. Vetzal

Citations in the corpus

• Robust numerical methods for contingent claims under jump diffusion processes (2005, methodology): “The use of Monte Carlo techniques for barrier options under jump diffusion has been explored by Metwally and Atiya (2002).”