Work

Exact Sampling of Jump Diffusions

Year: 2013

Type: article

Source: Operations Research

DOI: 10.1287/opre.2013.1191

Authors: Kay Giesecke, Dmitry Smelov

Institutions: Stanford University, Goldman Sachs (United States)

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W3123019596

FWCI: 9.912

Cites: 33

Cited by: 48

Related to: 10