Download or read book Using Monte Carlo Simulation and Importance Sampling to Rapidly Obtain Jump-Diffusion Prices of Continuous Barrier Options written by Mark S. Joshi and published by . This book was released on 2007 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: The problem of pricing a continuous barrier option in a jump-diffusion model is studied. It is shown that via an effective combination of importance sampling and analytic formulas thatsubstantial speed ups can be achieved. These techniques are shown to be particularly effective for computing deltas.