Seminar 217, Risk Management: Unbiased Simulation Estimators for Multivariate Jump-Diffusions (Online)

Seminar 217, Risk Management: Unbiased Simulation Estimators for Multivariate Jump-Diffusions (Online)

Apr 20, 2021, 11:00 AM - 12:30 PM | Online | Happening As Scheduled
Guanting Chen, Stanford University (Speaker)

ABSTRACT:
We develop and analyze an unbiased Monte Carlo estimator for functionals of multivariate jump-diffusion process with state-dependent drift, volatility, jump intensity and jump size. We use change of measure approach to sample the jumps and apply it to existing unbiased estimation methods for diffusions. Under regularity conditions on the coefficient functions as well as the...