Affine point processes : approximation and efficient simulation
Xiaowei Zhang; Jose Blanchet; Kay Giesecke; Peter W. Glynn
| Year of publication: |
2015
|
|---|---|
| Authors: | Zhang, Xiaowei ; Blanchet, Jose ; Giesecke, Kay ; Glynn, Peter W. |
| Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 40.2015, 4, p. 797-819
|
| Subject: | affine point process | affine jump diffusion | central limit theorem | large deviations | rare-event simulation | Simulation | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011408901