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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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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
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Parisian time of reflected Brownian motion with drift on rays and its application in banking
Dassios, Angelos; Zhang, Junyi - In: Risks 8 (2020) 4, pp. 1-14
In this paper, we study the Parisian time of a reflected Brownian motion with drift on a finite collection of rays. We derive the Laplace transform of the Parisian time using a recursive method, and provide an exact simulation algorithm to sample from the distribution of the Parisian time. The...
Persistent link: https://www.econbiz.de/10013200660
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Parisian time of reflected Brownian motion with drift on rays and its application in banking
Dassios, Angelos; Zhang, Junyi - In: Risks : open access journal 8 (2020) 4/127, pp. 1-14
In this paper, we study the Parisian time of a reflected Brownian motion with drift on a finite collection of rays. We derive the Laplace transform of the Parisian time using a recursive method, and provide an exact simulation algorithm to sample from the distribution of the Parisian time. The...
Persistent link: https://www.econbiz.de/10012391003