Unbiased Simulation Estimators for Multivariate Jump-Diffusions

We develop and analyze a class of unbiased Monte Carlo estimators for multivariate jump-diffusion processes with state-dependent drift, volatility, jump intensity size. A change measure argument is used to extend existing the inter-arrival diffusion include jumps. Under standard regularity conditions on coefficient target functions, we prove unbiasedness finite variance properties resulting estimators. Numerical experiments illustrate efficiency our