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Efficient estimation of first passage time density function for jump-diffusion processes
by
ATIYA, Amir F
,
METWALLY
,
Steve A
.
K
Published in
SIAM journal on scientific computing
(2005)
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Using Brownian Bridge for Fast Simulation of Jump-Diffusion Processes and Barrier Options
by
Metwally, Steve A.K.
,
Atiya, Amir F.
Published in
The Journal of derivatives
(01.10.2002)
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