Exact Simulation of Jump-Diffusion Processes with Monte Carlo Applications |
| |
Authors: | Bruno?Casella Email author" target="_blank">Gareth?O?RobertsEmail author |
| |
Institution: | 1.Department of Statistics,University of Warwick,Coventry,UK |
| |
Abstract: | We introduce a novel algorithm (JEA) to simulate exactly from a class of one-dimensional jump-diffusion processes with state-dependent
intensity. The simulation of the continuous component builds on the recent Exact Algorithm (Beskos et al., Bernoulli 12(6):1077–1098,
2006a). The simulation of the jump component instead employs a thinning algorithm with stochastic acceptance probabilities in the
spirit of Glasserman and Merener (Proc R Soc Lond Ser A Math Phys Eng Sci 460(2041):111–127, 2004). In turn JEA allows unbiased Monte Carlo simulation of a wide class of functionals of the process’ trajectory, including
discrete averages, max/min, crossing events, hitting times. Our numerical experiments show that the method outperforms Monte
Carlo methods based on the Euler discretization. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |
|