First Order Strong Approximations of Jump Diffusions

DOI10.1515/156939606778705191zbMath1113.65008OpenAlexW2038936261MaRDI QIDQ3431322

Christina Nikitopoulos Sklibosios, Eckhard Platen, Nicola Bruti-Liberati

Publication date: 10 April 2007

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

Full work available at URL: https://doi.org/10.1515/156939606778705191

zbMATH Keywords

numerical examplesWiener processesstochastic differential equationsPoisson random measuresMerton model

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (3)

Multilevel Monte Carlo Implementation for SDEs Driven by Truncated Stable Processes ⋮ A Control Variate Method for Monte Carlo Simulations of Heath–Jarrow–Morton Models with Jumps ⋮ Multilevel Monte Carlo for Lévy-driven SDEs: central limit theorems for adaptive Euler schemes

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• Bond Market Structure in the Presence of Marked Point Processes
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Option pricing when underlying stock returns are discontinuous

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