Localization and exact simulation of brownian motion-driven stochastic differential equations

Mathematics of Operations Research

Volumn 38, Issue 3, 2013, Pages 591-616

  Chen, Nan ^a   Huang, Zhengyu ^a  

^a CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Exact simulation method; Localization; Monte carlo simulation; Option pricing; Stochastic differential equations

Indexed keywords

ACCEPTANCE-REJECTION ALGORITHMS; DISCRETIZATION SCHEME; DOUBLY STOCHASTIC POISSON PROCESS; EXACT SIMULATION METHOD; LOCALIZATION; LOCALIZATION TECHNIQUE; OPTION PRICING; STOCHASTIC DIFFERENTIAL EQUATIONS;

BROWNIAN MOVEMENT; DIFFERENTIAL EQUATIONS; NUMERICAL METHODS;

MONTE CARLO METHODS;

EID: 84883046332     PISSN: 0364765X     EISSN: 15265471     Source Type: Journal    
DOI: 10.1287/moor.2013.0585     Document Type: Article

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