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2006

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Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes

14 years 13 days ago

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The stochastic differential equations for affine jump diffusion models do not yield exact solutions that can be directly simulated. Discretization methods can be used for simulati...

Mark Broadie, Özgür Kaya

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Id	Views	Title	Status

1	192	Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes	claim
2	177	Combinatorial Benders' Cuts for Mixed-Integer Linear Programming	claim
3	173	A Branch-and-Cut Algorithm for the Dial-a-Ride Problem	claim
4	163	Adaptive Importance Sampling Technique for Markov Chains Using Stochastic Approximation	claim
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8	91	Robust One-Period Option Hedging	claim
9	87	Discrete Optimization via Simulation Using COMPASS	claim
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13	74	On the Asymptotic Validity of Fully Sequential Selection Procedures for Steady-State Simulation	claim
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31	54	Piled-Slab Searches	claim
32	52	Increasing Risk and Increasing Informativeness: Equivalence Theorems	claim
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38	43	A Nonparametric Approach to Multiproduct Pricing	claim
39	40	Optimizing Chemotherapy Scheduling Using Local Search Heuristics	claim
40	39	Solving Nonlinear Single-Unit Commitment Problems with Ramping Constraints	claim

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