Affine point processes : approximation and efficient simulation
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 |
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