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    Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
    13 years 4 months ago
    Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
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    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...
    Mark Broadie, Özgür Kaya
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