Exact sampling of jump diffusions
From MaRDI portal
Publication:5166255
DOI10.1287/OPRE.2013.1191zbMATH Open1291.60171OpenAlexW4380795311MaRDI QIDQ5166255FDOQ5166255
Authors: Kay Giesecke, Dmitry Smelov 
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
Recommendations
- Exact simulation of jump-diffusion processes with Monte Carlo applications
- Exact Simulation of Brownian Diffusions with Drift Admitting Jumps
- Exact sampling of diffusions with a discontinuity in the drift
- Exact simulation problems for jump-diffusions
- On the exact and \(\varepsilon\)-strong simulation of (jump) diffusions
stochastic differential equationexact samplingexact simulationjump-diffusion processunbiased simulation estimator
Derivative securities (option pricing, hedging, etc.) (91G20) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cited In (38)
- Stochastic volatility double-jump-diffusions model: the importance of distribution type of jump amplitude
- Fluctuation analysis for the loss from default
- On the exact and \(\varepsilon\)-strong simulation of (jump) diffusions
- Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
- Measuring impact of random jumps without sample path generation
- Exact distributions in a jump-diffusion storage model.
- Exact simulation of jump-diffusion processes with Monte Carlo applications
- 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
- Large portfolio asymptotics for loss from default
- Discrete Sampling of Functionals of Ito Processes
- Unbiased estimation with square root convergence for SDE models
- Estimating jump-diffusions using closed-form likelihood expansions
- On the optimal design of the randomized unbiased Monte Carlo estimators
- Exact sampling of diffusions with a discontinuity in the drift
- Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
- Reducing bias in event time simulations via measure changes
- 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
- First jump time in simulation of sampling trajectories of affine jump-diffusions driven by \(\alpha\)-stable white noise
- 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
- Optimal stopping under uncertainty in drift and jump intensity
- Numerical aspects of shot noise representation of infinitely divisible laws and related processes
- Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model
This page was built for publication: Exact sampling of jump diffusions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5166255)
