Exact simulation of gamma-driven Ornstein-Uhlenbeck processes with finite and infinite activity jumps
Yan Qu, Angelos Dassios and Hongbiao Zhao
| Year of publication: |
2021
|
|---|---|
| Authors: | Qu, Yan ; Dassios, Angelos ; Zhao, Hongbiao |
| Published in: |
Journal of the Operational Research Society. - London : Taylor and Francis, ISSN 1476-9360, ZDB-ID 2007775-0. - Vol. 72.2021, 2, p. 471-484
|
| Subject: | exact simulation | finite activity | Gamma process | Gamma-OU process | infinite activity | Monte Carlo simulation | non-Gaussian Ornstein-Uhlenbeck (OU) process | OU-Gamma process | shot-noise process | Simulation | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/01605682.2019.1657368 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012500958