"Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion ..."

Mark Broadie, Özgür Kaya (2006)

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DOI: 10.1287/OPRE.1050.0247

access: closed

type: Journal Article

metadata version: 2020-03-31

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Mark Broadie, Özgür Kaya:
Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes. Oper. Res. 54(2): 217-231 (2006)

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