The following pages link to Exact Sampling of Jump Diffusions (Q5166255):
Displaying 28 items.
- On the exact and \(\varepsilon\)-strong simulation of (jump) diffusions (Q265272) (← links)
- Estimating jump-diffusions using closed-form likelihood expansions (Q311641) (← links)
- Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options (Q322636) (← links)
- Fluctuation analysis for the loss from default (Q402480) (← links)
- Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model (Q1713775) (← links)
- Brownian meanders, importance sampling and unbiased simulation of diffusion extremes (Q1939714) (← links)
- Numerical aspects of shot noise representation of infinitely divisible laws and related processes (Q1980850) (← links)
- General multilevel Monte Carlo methods for pricing discretely monitored Asian options (Q2023956) (← links)
- Efficient estimation and filtering for multivariate jump-diffusions (Q2024483) (← links)
- Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations (Q2029925) (← links)
- On the optimal design of the randomized unbiased Monte Carlo estimators (Q2060580) (← links)
- Exact simulation of the first passage time through a given level of jump diffusions (Q2079352) (← links)
- Simulated likelihood estimators for discretely observed jump-diffusions (Q2280574) (← links)
- American step options (Q2282524) (← links)
- Exact simulation problems for jump-diffusions (Q2513661) (← links)
- Unbiased Estimation with Square Root Convergence for SDE Models (Q2795863) (← links)
- Measuring Impact of Random Jumps Without Sample Path Generation (Q3452488) (← links)
- Stochastic volatility double-jump-diffusions model: the importance of distribution type of jump amplitude (Q4976303) (← links)
- An Exact Auxiliary Variable Gibbs Sampler for a Class of Diffusions (Q5066386) (← links)
- Reducing Bias in Event Time Simulations via Measure Changes (Q5085125) (← links)
- LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT (Q5175224) (← links)
- Optimal Stopping Under Uncertainty in Drift and Jump Intensity (Q5219694) (← links)
- Unbiased Sensitivity Estimation of One-Dimensional Diffusion Processes (Q5219720) (← links)
- A recursive method for static replication of autocallable structured products (Q5234318) (← links)
- Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps (Q6146678) (← links)
- Strong approximation of Bessel processes (Q6164838) (← links)
- Statistical arbitrage: factor investing approach (Q6201542) (← links)
- A recursive representation for decoupling time-state dependent jumps from jump-diffusion processes (Q6647794) (← links)
