"Exact simulation of gamma-driven Ornstein-Uhlenbeck processes with finite ..."

Yan Qu, Angelos Dassios, Hongbiao Zhao (2021)

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DOI: 10.1080/01605682.2019.1657368

access: closed

type: Journal Article

metadata version: 2024-05-07

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Yan Qu, Angelos Dassios, Hongbiao Zhao:
Exact simulation of gamma-driven Ornstein-Uhlenbeck processes with finite and infinite activity jumps. J. Oper. Res. Soc. 72(2): 471-484 (2021)

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