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Multilevel Path Simulation for Jump-Diffusion SDEs · Study

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ChapterMultilevel Path Simulation for Jump-Diffusion SDEs

Yuan Mei Xia2012

Chapter2012

Multilevel Path Simulation for Jump-Diffusion SDEs

Yuan Mei Xia · Michael B. Giles

24 citations·0/0 files stored·Springer proceedings in mathematics & statistics

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Stochastic processes and financial applications Markov Chains and Monte Carlo Methods Mathematical Approximation and Integration

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References

1976Option pricing when underlying stock returns are discontinuous 2003Monte Carlo Methods in Financial Engineering 2003Financial Modelling with Jump Processes 2008Multilevel Monte Carlo Path Simulation 2010Numerical Solution of Stochastic Differential Equations with Jumps in Finance 2007Improved Multilevel Monte Carlo Convergence using the Milstein Scheme 2010Multilevel Monte Carlo algorithms for Lévy-driven SDEs with Gaussian correction 2009Multilevel quasi-Monte Carlo path simulation

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2019Multilevel Monte Carlo method for ergodic SDEs without contractivity

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Details

Year2012

Typechapter

Published2012-01-01

VenueSpringer proceedings in mathematics & statistics

ISSN-L2194-1009

Languageen

Citations24

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-642-27440-4_41

openalex_workW148696609

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