Exact sampling of jump diffusions

Operations Research

Volumn 61, Issue 4, 2013, Pages 894-907

  Giesecke, Kay ^a   Smelov, Dmitry ^b  

^a Stanford University   (United States)

^b Goldman Sachs Group   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

DRIFT FUNCTIONS; EXACT SAMPLINGS; HITTING PROBABILITIES; INTENSITY FUNCTIONS; JUMP DIFFUSION; NUMERICAL RESULTS; STATE-DEPENDENT; TRANSITION DENSITY;

OPERATIONS RESEARCH;

COMPUTER APPLICATIONS;

EID: 84883701792     PISSN: 0030364X     EISSN: 15265463     Source Type: Journal    
DOI: 10.1287/opre.2013.1191     Document Type: Article

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