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exact-simulation

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xmlongan / ajd.sim.kbf

Simulation of Affine Jump Diffusions Using Kyriakou-Brignone-Fusai Method

jump-diffusion heston-model heston-stochastic-volatility affine-jump-diffusion exact-simulation

Updated Feb 9, 2025
R

xmlongan / ajd.sim.bk

Simulation of Affine Jump Diffusions Using Broadie-Kaya Method

jump-diffusion heston-model heston-stochastic-volatility affine-jump-diffusion exact-simulation

Updated Feb 18, 2025
R

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