Exact simulation of the first passage time through a given level for jump diffusions

DOI10.1016/J.MATCOM.2022.07.007arXiv2106.05560MaRDI QIDQ6369943

Nicolas Massin, Samuel Herrmann

Publication date: 10 June 2021

Mathematics Subject Classification ID

Probability theory and stochastic processes (60-XX) Statistical mechanics, structure of matter (82-XX)

This page was built for publication: Exact simulation of the first passage time through a given level for jump diffusions