Approximation of the distribution of a stationary Markov process with application to option pricing

DOI10.3150/08-BEJ142zbMath1214.60036arXiv0704.0335OpenAlexW3125201861MaRDI QIDQ605850

Gilles Pagès, Fabien Panloup

Publication date: 15 November 2010

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0704.0335

zbMATH Keywords

option pricingnumerical approximationstationary processLévy processEuler schemestochastic volatility modeltempered stable process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Brownian motion (60J65) Diffusion processes (60J60) Financial applications of other theories (91G80)

Related Items (9)

Weighted multilevel Langevin simulation of invariant measures ⋮ Approximation of stationary solutions to SDEs driven by multiplicative fractional noise ⋮ Stationary Heston model: calibration and pricing of exotics using product recursive quantization ⋮ Recursive computation of the invariant distributions of Feller processes: revisited examples and new applications ⋮ Discretization of the ergodic functional central limit theorem ⋮ Ergodic approximation of the distribution of a stationary diffusion: rate of convergence ⋮ A mixed-step algorithm for the approximation of the stationary regime of a diffusion ⋮ Approximation of stationary solutions of Gaussian driven stochastic differential equations ⋮ Recursive computation of invariant distributions of Feller processes

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