Multilevel Path Simulation for Jump-Diffusion SDEs

DOI10.1007/978-3-642-27440-4_41zbMath1270.91099arXiv1106.4730OpenAlexW148696609MaRDI QIDQ5326141

Michael B. Giles, Yuan Xia

Publication date: 31 July 2013

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1106.4730

zbMATH Keywords

option pricingjump-diffusion SDEsfinite rate activitymultilevel Monte Carlo path simulation method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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Cites Work

• A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations
• Multilevel Monte Carlo algorithms for Lévy-driven SDEs with Gaussian correction
• Numerical solution of stochastic differential equations with jumps in finance
• Convergence of a discretization scheme for jump-diffusion processes with state–dependent intensities
• Multilevel Monte Carlo Path Simulation
• Financial Modelling with Jump Processes
• Option pricing when underlying stock returns are discontinuous
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