Exact simulation of the first passage time through a given level of jump diffusions
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Cites work
- scientific article; zbMATH DE number 3954145 (Why is no real title available?)
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- scientific article; zbMATH DE number 43057 (Why is no real title available?)
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- scientific article; zbMATH DE number 1054336 (Why is no real title available?)
- A continuity correction for discrete barrier options
- A factorisation of diffusion measure and finite sample path constructions
- A jump-diffusion model for option pricing
- A review of the integrate-and-fire neuron model: I. Homogeneous synaptic input
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- Applied stochastic control of jump diffusions.
- Boundary crossing of Brownian motion. Its relation to the law of the iterated logarithm and to sequential analysis
- Convergence and stability of implicit methods for jump-diffusion systems
- Exact Monte Carlo simulation of killed diffusions
- Exact sampling of jump diffusions
- Exact simulation of diffusions
- Exact simulation of first exit times for one-dimensional diffusion processes
- Exact simulation of jump-diffusion processes with Monte Carlo applications
- Exact simulation of the first-passage time of diffusions
- Exact simulation problems for jump-diffusions
- Exact solutions and doubly efficient approximations of jump-diffusion itô equations
- First time to exit of a continuous Itô process: general moment estimates and \({\mathbf{L}}_{1}\)-convergence rate for discrete time approximations
- Level crossing problems and drift reliability
- Localization and exact simulation of Brownian motion-driven stochastic differential equations
- Lookback options and diffusion hitting times: a spectral expansion approach
- Numerical methods for nonlinear stochastic differential equations with jumps
- Numerical solution of stochastic differential equations with jumps in finance
- On the exact and \(\varepsilon\)-strong simulation of (jump) diffusions
- Recurrence and transience for jump–diffusion processes
- Retrospective exact simulation of diffusion sample paths with applications
- Runge-Kutta methods for jump-diffusion differential equations
- Stochastic differential equations. An introduction with applications
- Stochastic integrate and fire models: a review on mathematical methods and their applications
- Stopped diffusion processes: boundary corrections and overshoot
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- The hitting time density for a reflected Brownian motion
- Weak approximation of killed diffusion using Euler schemes.
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