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Exact Monte Carlo simulation of killed diffusions
14 references·1 citing·36 second hop
Exact Monte Carlo simulation of killed diffusions (2008)Exact Monte Carlo simulation of killed di…A Factorisation of Diffusion Measure and Finite Sample Path Constructions (2008)A Factorisation of Diffusion …Stochastic Simulation (2007)Stochastic SimulationTheory of rational option pricing (2005)Theory of rational option pri…A symmetrized Euler scheme for an efficient approximation of reflected diffusions (2004)A symmetrized Euler scheme fo…Pricing and Hedging Path-Dependent Options Under the CEV Process (2001)Pricing and Hedging Path-Depe…Euler schemes and half-space approximation for the simulation of diffusion in a domain (2001)Euler schemes and half-space …Boundary crossing probability for Brownian motion (2001)Boundary crossing probability…Weak approximation of killed diffusion using Euler schemes (2000)Weak approximation of killed …Stochastic Differential Equations (1998)Stochastic Differential Equat…Euler scheme for reflected stochastic differential equations (1995)Euler scheme for reflected st…A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …Stochastic Differential Equations: An Introduction with Applications. (1987)Stochastic Differential Equat…VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)VALUING CORPORATE SECURITIES:…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…$\varepsilon$-Strong simulation of the Brownian path (2012)$\varepsilon$-Strong simulati…The Random Character of Stock Market Prices (1968)THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES (1969)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Coherent Measures of Risk (1999)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)Why Does Stock Market Volatility Change Over Time? (1989)The Determinants of Credit Spread Changes (2001)A Jump-Diffusion Model for Option Pricing (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)A jump to default extended CEV model: an application of Bessel processes (2006)Brownian Motion and Stochastic Calculus (2007)The joint density of the maximum and its location for a Wiener process with drift (1979)Discretization Error in Simulation of One-Dimensional Reflecting Brownian Motion (1995)EXACT SIMULATION OF THE 3/2 MODEL (2012)Localization and Exact Simulation of Brownian Motion-Driven Stochastic Differential Equations (2013)On the exact and $\varepsilon$-strong simulation of (jump) diffusions (2015)Numerical solution of stochastic differential equations (2016)An equilibrium characterization of the term structure (1977)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Default Risk in Equity Returns (2004)Continuous Martingales and Brownian Motion (1999)Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control (2005)Stochastic differential equations and applications (2008)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk (2012)Option pricing: A simplified approach (1979)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)On modelling and pricing weather derivatives (2002)Multiscale Stochastic Volatility Asymptotics (2003)Saving and investing for early retirement: A theoretical analysis☆ (2006)A Guide to Sample Average Approximation (2014)Simulation Modeling and Analysis (2016)A unified framework for stochastic optimization (2018)
this work references cited by second hop

References

  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,176 cited
  • 1987Stochastic Differential Equations: An Introduction with Applications.4,034 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,389 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,099 cited
  • 2007Stochastic Simulation1,121 cited
  • 1998Stochastic Differential Equations714 cited
  • 2001Pricing and Hedging Path-Dependent Options Under the CEV Process343 cited
  • 2000Weak approximation of killed diffusion using Euler schemes188 cited
  • 2008A Factorisation of Diffusion Measure and Finite Sample Path Constructions99 cited
  • 2001Boundary crossing probability for Brownian motion96 cited
  • 1995Euler scheme for reflected stochastic differential equations89 cited
  • 2004A symmetrized Euler scheme for an efficient approximation of reflected diffusions89 cited
  • 2001Euler schemes and half-space approximation for the simulation of diffusion in a domain89 cited

Cited by

  • 2012$\varepsilon$-Strong simulation of the Brownian path18 cited

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