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    WSC
    2004
    135views Modeling And Simulation» more  WSC 2004»
    Exact Simulation of Option Greeks under Stochastic Volatility and Jump Diffusion Models
    13 years 8 months ago
    Exact Simulation of Option Greeks under Stochastic Volatility and Jump Diffusion Models
    Download  www.columbia.edu
    This paper derives Monte Carlo simulation estimators to compute option price derivatives, i.e., the `Greeks,' under Heston's stochastic volatility model and some variant...
    Mark Broadie, Özgür Kaya
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    IOR
    2006
    192views more  IOR 2006»
    Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
    13 years 7 months ago
    Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
    Download  finmath.stanford.edu
    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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