Exact Sampling of Jump Diffusions
提出一种对一维跳跃扩散过程进行精确模拟的方法，可无偏估计证券价格、转移密度和击中概率等，适用于漂移、波动率和跳跃强度函数满足一定光滑性条件的情形。
This paper develops a method for the exact simulation of a skeleton, a hitting time, and other functionals of a one-dimensional jump diffusion with state-dependent drift, volatility, jump intensity, and jump size. The method requires the drift function to be C 1 , the volatility function to be C 2 , and the jump intensity function to be locally bounded. No further structure is imposed on these functions. The method leads to unbiased simulation estimators of security prices, transition densities, hitting probabilities, and other quantities. Numerical results illustrate its features.