Exact Sampling of Jump Diffusions

DOI10.1287/opre.2013.1191zbMath1291.60171OpenAlexW4380795311MaRDI QIDQ5166255

Dmitry Smelov, Kay Giesecke

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

zbMATH Keywords

stochastic differential equationexact samplingexact simulationjump-diffusion processunbiased simulation estimator

Mathematics Subject Classification ID

Related Items (27)

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