Unbiased Simulation Estimators for Multivariate Jump-Diffusions
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Publication:6382004
arXiv2111.01846MaRDI QIDQ6382004FDOQ6382004
Authors: Guanting Chen, Alex Shkolnik, Kay Giesecke 
Publication date: 2 November 2021
Abstract: We develop and analyze a class of unbiased Monte Carlo estimators for multivariate jump-diffusion processes with state-dependent drift, volatility, jump intensity and jump size. A change of measure argument is used to extend existing unbiased estimators for the inter-arrival diffusion to include state-dependent jumps. Under standard regularity conditions on the coefficient and target functions, we prove the unbiasedness and finite variance properties of the resulting jump-diffusion estimators. Numerical experiments illustrate the efficiency of our estimators.
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