Exact simulation of occupation times

DOI10.1007/978-3-642-27440-4_33MaRDI QIDQ5326132zbMATH OpenOpenAlexFDO

Authors R. Makarov, K. Wouterloot

Publication date 31 July 2013

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-27440-4_33

zbMATH Keywords

Brownian bridge interpolation of sample pathsBrownian processesexact simulationjump-diffusion processesoccupation timesoption pricingsampling

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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Cited in

(6)

• Towards the exact simulation using hyperbolic Brownian motion
• Exact simulation of final, minimal and maximal values of Brownian motion and jump-diffusions with applications to option pricing
• THE FEYNMAN–KAC FORMULA AND PRICING OCCUPATION TIME DERIVATIVES
• Pricing occupation-time options in a mixed-exponential jump-diffusion model
• Simulation Exercise on Time Perception Parameters in Discrete‐time Dynamic Assignment Models
• Exact simulation of jump-diffusion processes with Monte Carlo applications

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