Diffusion approximation of Lévy processes with a view towards finance

DOI10.1515/MCMA.2011.003zbMath1214.60017OpenAlexW2044677636MaRDI QIDQ3168628

Raúl Tempone, Jonas Kiessling

Publication date: 19 April 2011

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma.2011.003

zbMATH Keywords

Monte Carlodiffusion approximationadaptivityweak approximationa posteriori error estimateserror controlLévy processmathematical financeerror expansioninfinite activity

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Monte Carlo methods (65C05) Diffusion processes (60J60)

Related Items (2)

Computable error estimates of a finite difference scheme for option pricing in exponential Lévy models ⋮ Stochastic systems with memory and jumps

Cites Work

• Gaussian approximation of multivariate Lévy processes with applications to simulation of tempered stable processes
• On the existence of smooth densities for jump processes
• Approximations of small jumps of Lévy processes with a view towards simulation
• Adaptive Weak Approximation of Diffusions with Jumps
• Adaptive weak approximation of stochastic differential equations
• Stochastic Volatility for Lévy Processes
• The Variance Gamma Process and Option Pricing

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