On Weak Predictor–Corrector Schemes for Jump-Diffusion Processes in Finance
From MaRDI portal
Publication:2920948
DOI10.1007/978-1-4614-3433-7_1zbMath1296.91278OpenAlexW2170068330MaRDI QIDQ2920948
Nicola Bruti-Liberati, Eckhard Platen
Publication date: 29 September 2014
Published in: Topics in Numerical Methods for Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-1-4614-3433-7_1
Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for initial value problems involving ordinary differential equations (65L05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items
Approximation of jump diffusions in finance and economics, Strong approximations of stochastic differential equations with jumps, Convergence and stability of implicit compensated Euler method for stochastic differential equations with Poisson random measure, Poisson and diffusion approximation of stochastic master equations with control, Numerical solutions of stochastic differential delay equations with Poisson random measure under the generalized Khasminskii-type conditions, Runge-Kutta methods for jump-diffusion differential equations, Strong convergence of the tamed Euler method for stochastic differential equations with piecewise continuous arguments and Poisson jumps, Numerical solutions of stochastic differential equations driven by Poisson random measure with non-Lipschitz coefficients, Existence, uniqueness and approximation of the jump-type stochastic Schrödinger equation for two-level systems, Parallel statistical computing for statistical inference, Unnamed Item
