Search Results - subject:"exact simulation"

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Moments of integrated exponential Lévy processes and applications to Asian options pricing

Brignone, Riccardo - In: Quantitative finance 22 (2022) 9, pp. 1717-1729

Persistent link: https://www.econbiz.de/10013367942

Exact simulation of gamma-driven Ornstein-Uhlenbeck processes with finite and infinite activity jumps

Qu, Yan; Dassios, Angelos; Zhao, Hongbiao - In: Journal of the Operational Research Society 72 (2021) 2, pp. 471-484

Persistent link: https://www.econbiz.de/10012500958

Exact simulation of variance gamma-related OU processes : application to the pricing of energy derivatives

Sabino, Piergiacomo - In: Applied mathematical finance 27 (2020) 3, pp. 207-227

Persistent link: https://www.econbiz.de/10012315167

A Monte Carlo Method using PDE Expansions for a Diversifed Equity Index Model

Heath, David; Platen, Eckhard - Finance Discipline Group, Business School - 2014

reduction is then formulated to approximate the true solution. Almost exact simulation schemes are described for the given state …

Persistent link: https://www.econbiz.de/10010888484

A Monte Carlo method using PDE expansions for a diversifed equity index model

Heath, David C.; Platen, Eckhard - 2014

Persistent link: https://www.econbiz.de/10011344801

Exact and high order discretization schemes for Wishart processes and their affine extensions

Ahdida, Abdelkoddousse; Alfonsi, Aurélien - HAL - 2013

Wishart distributions, without any restriction on the parameters. It is related but extends existing exact simulation methods … second-order schemes for general affine diffusions. These schemes are in practice faster than the exact simulation to sample …

Persistent link: https://www.econbiz.de/10010898676

Moments of renewal shot-noise processes and their applications

Jang, Jiwook; Dassios, Angelos; Zhao, Hongbiao - In: Scandinavian actuarial journal (2018) 8, pp. 727-752

Persistent link: https://www.econbiz.de/10011939737

Quasi-Monte Carol Methods for the Heston Model

Baldeaux, Jan; Roberts, Dale - Finance Discipline Group, Business School - 2012

the Broadie-Kaya algorithm, an exact simulation scheme for the Heston model. As the joint transition densities are not …

Persistent link: https://www.econbiz.de/10010883500

The 4/2 stochastic volatility model : a unified approach for the Heston and the 3/2 model

Grasselli, Martino - In: Mathematical finance : an international journal of … 27 (2017) 4, pp. 1013-1034

Persistent link: https://www.econbiz.de/10011765005

Efficient simulation of clustering jumps with CIR intensity

Dassios, Angelos; Zhao, Hongbiao - In: Operations research 65 (2017) 6, pp. 1494-1515

Persistent link: https://www.econbiz.de/10011777769

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