Simulation of extremes of diffusions
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Recommendations
- Exact simulation of final, minimal and maximal values of Brownian motion and jump-diffusions with applications to option pricing
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- Highs and lows: Some properties of the extremes of a diffusion and applications in finance
- On the exact and -strong simulation of (jump) diffusions
Cites work
- Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
- Exact simulation of diffusions
- Highs and lows: Some properties of the extremes of a diffusion and applications in finance
- The joint density of the maximum and its location for a Wiener process with drift
Cited in
(6)- Brownian meanders, importance sampling and unbiased simulation of diffusion extremes
- Exact simulation of final, minimal and maximal values of Brownian motion and jump-diffusions with applications to option pricing
- Highs and lows: Some properties of the extremes of a diffusion and applications in finance
- Simulation of Multivariate Diffusion Bridges
- Simulation of stopped diffusions
- Simulation of diffusions with boundary conditions
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