On the Exact Simulation of (Jump) Diffusion Bridges
Methodology
2015-05-13 v1 Probability
Computational Finance
Computation
Abstract
In this paper we outline methodology to efficiently simulate (jump) diffusion bridge sample paths without discretisation error. We achieve this by considering the simulation of conditioned (jump) diffusion bridge sample paths in light of recent work developing a mathematical framework for simulating finite dimensional sample path skeletons (which flexibly characterise the entirety of sample paths).
Keywords
Cite
@article{arxiv.1505.03030,
title = {On the Exact Simulation of (Jump) Diffusion Bridges},
author = {Murray Pollock},
journal= {arXiv preprint arXiv:1505.03030},
year = {2015}
}
Comments
12 pages, 3 figures