Numerical solution of stochastic differential equations with jumps in finance

DOI10.1007/978-3-642-13694-8zbMath1225.60004OpenAlexW1503185336MaRDI QIDQ983262

Eckhard Platen, Nicola Bruti-Liberati

Publication date: 4 August 2010

Published in: Stochastic Modelling and Applied Probability (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10453/20293

zbMATH Keywords

stochastic differential equationsjump processesnumerical solutionsstrong and weak approximationsapplications in financediscrete time approximations

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

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