Exact simulation of gamma-driven Ornstein-Uhlenbeck processes with finite and infinite activity jumps
Year of publication: |
2021
|
---|---|
Authors: | Qu, Yan ; Dassios, Angelos ; Zhao, Hongbiao |
Published in: |
Journal of the Operational Research Society. - London : Taylor and Francis, ISSN 1476-9360, ZDB-ID 2007775-0. - Vol. 72.2021, 2, p. 471-484
|
Subject: | exact simulation | finite activity | Gamma process | Gamma-OU process | infinite activity | Monte Carlo simulation | non-Gaussian Ornstein-Uhlenbeck (OU) process | OU-Gamma process | shot-noise process | Simulation | Monte-Carlo-Simulation | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
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