Exact Sampling of Jump Diffusions

• 成果类型: Article
• 署名作者: Giesecke, Kay; Smelov, Dmitry
• 署名单位: Stanford University
• 刊物名称: OPERATIONS RESEARCH
• ISSN/ISSBN: 0030-364X
• DOI: 10.1287/opre.2013.1191
• 发表日期: 2013
• 页码: 894-907
• 关键词: exact simulation; discretization schemes; stochastic volatility; brownian-motion; point-processes; term structure; MODEL; cir

摘要

This paper develops a method for the exact simulation of a skeleton, a hitting time, and other functionals of a one-dimensional jump diffusion with state-dependent drift, volatility, jump intensity, and jump size. The method requires the drift function to be C-1, the volatility function to be C-2, and the jump intensity function to be locally bounded. No further structure is imposed on these functions. The method leads to unbiased simulation estimators of security prices, transition densities, hitting probabilities, and other quantities. Numerical results illustrate its features.