A recursive representation for decoupling time-state dependent jumps from jump-diffusion processes
Author:
Affiliation:
1. School of Mathematics and Statistics, University of Sydney, NSW, Australia
2. Graduate School of Arts and Sciences / Mathematics and Informatics Center, The University of Tokyo, Tokyo, Japan
Funder
JSPS
Publisher
Informa UK Limited
Subject
Modeling and Simulation,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/17442508.2023.2259534
Reference22 articles.
1. Exact simulation of jump-diffusion processes with Monte Carlo applications;Casella B.;Methodol. Comput. Appl. Probab.,2011
2. Numerical methods for backward stochastic differential equations: a survey;Chessari J.;Probab. Surveys,2023
3. Compound Poisson Disorder Problem
4. A penalty method for American options with jump diffusion processes
5. Transform Analysis and Asset Pricing for Affine Jump-diffusions
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