Convergence Rate of Markov Chains and Hybrid Numerical Schemes to Jump-Diffusion with Application to the Bates Model (Q5151932)
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scientific article; zbMATH DE number 7314379
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Convergence Rate of Markov Chains and Hybrid Numerical Schemes to Jump-Diffusion with Application to the Bates Model |
scientific article; zbMATH DE number 7314379 |
Statements
Convergence Rate of Markov Chains and Hybrid Numerical Schemes to Jump-Diffusion with Application to the Bates Model (English)
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23 February 2021
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jump-diffusion processes
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PIDES
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weak convergence
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tree methods
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finite difference
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stochastic volatility
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European options
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