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Showing 1 to 1 of 1 for “"Multivariate Uniform Sampling Method"”.
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First passage time problem for multivariate jump-diffusion processes: Models, computation, and applications in finance
… procedures that can be carried out for multivariate (and correlated) jump-diffusion processes. We have also provided details of the implementation of the developed Monte-Carlo-based technique for a subclass of multidimensional Levy processes with several compound Poisson shocks. Finally, …