3 search results - page 1 / 1 » Exact Simulation of Stochastic Volatility and Other Affine J... |
IOR
2006
13 years 4 months ago
2006
The stochastic differential equations for affine jump diffusion models do not yield exact solutions that can be directly simulated. Discretization methods can be used for simulati...
WSC
2004
13 years 6 months ago
2004
This paper derives Monte Carlo simulation estimators to compute option price derivatives, i.e., the `Greeks,' under Heston's stochastic volatility model and some variant...
SIAMSC
2008
13 years 4 months ago
2008
Asymptotic linear stability is studied for stochastic differential equations (SDEs) that incorporate Poisson-driven jumps and their numerical simulation using Eulertype discretisa...