Tuesday, April 20th @ 11:00-12:30 PM (ONLINE)
Unbiased Simulation Estimators for Multivariate Jump-Diffusions
Guanting Chen, Stanford University
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 functional, the estimator is proved to be unbiased and have finite variance.