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Exact Sampling of Jump Diffusions

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References

1976Option pricing when underlying stock returns are discontinuous5,965 cited
2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
1999Modeling Term Structures of Defaultable Bonds2,547 cited
1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,383 cited
2002A Jump-Diffusion Model for Option Pricing1,895 cited
2004Option Pricing Under a Double Exponential Jump Diffusion Model654 cited
2001The term structure of credit spreads with jump risk511 cited
2006Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes493 cited
2004The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models475 cited
1998Pricing the risks of default469 cited
2010Affine Point Processes and Portfolio Credit Risk373 cited
2009A comparison of biased simulation schemes for stochastic volatility models316 cited
2005On the discretization schemes for the CIR (and Bessel squared) processes246 cited
2006A jump to default extended CEV model: an application of Bessel processes227 cited
1995Efficient Monte Carlo Simulation of Security Prices173 cited

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2009High order discretization schemes for the CIR process: Application to affine term structure and Heston models169 cited

Cited by

2020Efficient Simulation of Generalized SABR and Stochastic Local Volatility Models based on Markov Chain Approximations41 cited
2015On the exact and $\varepsilon$-strong simulation of (jump) diffusions38 cited
2014Fluctuation analysis for the loss from default37 cited
2017Efficient Simulation of Clustering Jumps with CIR Intensity32 cited
2018Exact simulation of the Ornstein–Uhlenbeck driven stochastic volatility model31 cited
2016Estimating jump–diffusions using closed-form likelihood expansions25 cited