Exact Simulation of Jump-Diffusion Processes with Monte Carlo Applications
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DOI: 10.1007/s11009-009-9163-1
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Cited by:
- Flávio B. Gonçalves & Gareth O. Roberts, 2014. "Exact Simulation Problems for Jump-Diffusions," Methodology and Computing in Applied Probability, Springer, vol. 16(4), pages 907-930, December.
- Giesecke, K. & Schwenkler, G., 2019. "Simulated likelihood estimators for discretely observed jump–diffusions," Journal of Econometrics, Elsevier, vol. 213(2), pages 297-320.
- Wanmo Kang & Jong Mun Lee, 2019. "Unbiased Sensitivity Estimation of One-Dimensional Diffusion Processes," Mathematics of Operations Research, INFORMS, vol. 44(1), pages 334-353, February.
- Hermann, Simone & Ickstadt, Katja & Müller, Christine H., 2018. "Bayesian prediction for a jump diffusion process – With application to crack growth in fatigue experiments," Reliability Engineering and System Safety, Elsevier, vol. 179(C), pages 83-96.
- Yehuda Arav & Eyal Fattal & Ziv Klausner, 2022. "Is the Increased Transmissibility of SARS-CoV-2 Variants Driven by within or Outside-Host Processes?," Mathematics, MDPI, vol. 10(19), pages 1-17, September.
- K. Giesecke & H. Kakavand & M. Mousavi, 2011. "Exact Simulation of Point Processes with Stochastic Intensities," Operations Research, INFORMS, vol. 59(5), pages 1233-1245, October.
- Herrmann, Samuel & Massin, Nicolas, 2023. "Exact simulation of the first passage time through a given level of jump diffusions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 203(C), pages 553-576.
- Kay Giesecke & Dmitry Smelov, 2013. "Exact Sampling of Jump Diffusions," Operations Research, INFORMS, vol. 61(4), pages 894-907, August.
- Rudiger Frey & Verena Kock, 2021. "Deep Neural Network Algorithms for Parabolic PIDEs and Applications in Insurance Mathematics," Papers 2109.11403, arXiv.org, revised Sep 2021.
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Keywords
Jump diffusion; Simulation; Exact Algorithms; Barrier option pricing;All these keywords.
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