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    Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
    14 years 18 days 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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