Exact simulation of the first passage time through a given level of jump diffusions (Q2079352)
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scientific article; zbMATH DE number 7594647
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Exact simulation of the first passage time through a given level of jump diffusions |
scientific article; zbMATH DE number 7594647 |
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Exact simulation of the first passage time through a given level of jump diffusions (English)
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29 September 2022
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first passage time
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jump diffusion
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Girsanov formula
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rejection sampling
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Bessel process
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stochastic algorithm
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