Exact sampling of jump diffusions
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Publication:5166255
DOI10.1287/OPRE.2013.1191zbMATH Open1291.60171OpenAlexW4380795311MaRDI QIDQ5166255FDOQ5166255
Publication date: 26 June 2014
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: http://pubsonline.informs.org/doi/abs/10.1287/opre.2013.1191
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stochastic differential equationexact samplingexact simulationjump-diffusion processunbiased simulation estimator
Derivative securities (option pricing, hedging, etc.) (91G20) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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- Reducing Bias in Event Time Simulations via Measure Changes
- Exact distributions in a jump-diffusion storage model.
- Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps
- An Exact Auxiliary Variable Gibbs Sampler for a Class of Diffusions
- Convergence of a discretization scheme for jump-diffusion processes with state–dependent intensities
- Efficient estimation and filtering for multivariate jump-diffusions
- Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
- A recursive method for static replication of autocallable structured products
- Discrete Sampling of Functionals of Ito Processes
- Unbiased estimation with square root convergence for SDE models
- Estimating jump-diffusions using closed-form likelihood expansions
- Measuring Impact of Random Jumps Without Sample Path Generation
- On the optimal design of the randomized unbiased Monte Carlo estimators
- Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
- Optimal Stopping Under Uncertainty in Drift and Jump Intensity
- Exact simulation problems for jump-diffusions
- Brownian meanders, importance sampling and unbiased simulation of diffusion extremes
- Exact Sampling from a Continuous State Space
- Statistical arbitrage: factor investing approach
- Exponential ergodicity of the bouncy particle sampler
- A recursive representation for decoupling time-state dependent jumps from jump-diffusion processes
- How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?
- Simulated likelihood estimators for discretely observed jump-diffusions
- General multilevel Monte Carlo methods for pricing discretely monitored Asian options
- Strong approximation of Bessel processes
- Exact simulation of the first passage time through a given level of jump diffusions
- American step options
- Unbiased Sensitivity Estimation of One-Dimensional Diffusion Processes
- Numerical aspects of shot noise representation of infinitely divisible laws and related processes
- Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model
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