Convergence Rate of Markov Chains and Hybrid Numerical Schemes to Jump-Diffusion with Application to the Bates Model
DOI10.1137/18M1209416zbMath1477.60108arXiv1809.10545OpenAlexW3129906935MaRDI QIDQ5151932
Lucia Caramellino, Giulia Terenzi, Maya Briani
Publication date: 23 February 2021
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1809.10545
weak convergencestochastic volatilityfinite differencejump-diffusion processesEuropean optionstree methodsPIDES
Numerical methods (including Monte Carlo methods) (91G60) Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical analysis or methods applied to Markov chains (65C40) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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