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On the rate of convergence of weak Euler approximation for nondegenerate SDEs driven by Lévy processes
10 references·1 citing·35 second hop
On the rate of convergence of weak Euler approximation for nondegenerate SDEs driven by Lévy processes (2011)On the rate of convergence of weak Euler …Numerical Solution of Stochastic Differential Equations (2016)Numerical Solution of Stochas…Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…Numerical Solution of Stochastic Differential Equations with Jumps in Finance (2010)Numerical Solution of Stochas…Efficient numerical schemes for the approximation of expectations of functionals of the solution of a S.D.E., and applications (2005)Efficient numerical schemes f…Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps (2002)Rate of Weak Convergence of t…The Euler scheme for Lévy driven stochastic differential equations (1997)The Euler scheme for Lévy dri…Weak approximation of solutions of systems of stochastic differential equations (1995)Weak approximation of solutio…Rate of Convergence of the Euler Approximation for Diffusion Processes (1991)Rate of Convergence of the Eu…Time Discrete Taylor Approximations for Itǒ Processes with Jump Component (1988)Time Discrete Taylor Approxim…Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solution (1986)Discrétisation d'une équation…On the rate of convergence of simple and jump-adapted weak Euler schemes for Lévy driven SDEs (2012)On the rate of convergence of…Hedging of contingent claims under incomplete information (1990)Bond Market Structure in the Presence of Marked Point Processes (1997)Asymptotic error distributions for the Euler method for stochastic differential equations (1998)Monte Carlo and Quasi-Monte Carlo Methods (2013)Disentangling the stochastic behavior of complex time series (2016)Consumer Scores and Price Discrimination (2019)The Behavior of Stock-Market Prices (1965)The law of the Euler scheme for stochastic differential equations (1996)Continuous Martingales and Brownian Motion (1999)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)An Empirical Investigation of Continuous‐Time Equity Return Models (2002)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Weak rate of convergence of the Euler–Maruyama scheme for stochastic differential equations with non-regular drift (2017)On the regularisation of the noise for the Euler-Maruyama scheme with irregular drift (2020)Calcul Stochastique et Problèmes de Martingales (1979)Controlled Diffusion Processes (1980)Stochastic Differential Equations and Diffusion Processes (1981)Weak Approximations and Extrapolations of Stochastic Differential Equations with Jumps (2000)The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Parameter estimation and bias correction for diffusion processes (2008)Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing (2008)Numerical schemes for dynamically orthogonal equations of stochastic fluid and ocean flows (2012)Discretization and simulation of stochastic differential equations (1985)Numerical Approximation for Functionals of Reflecting Diffusion Processes (1998)Simulation and the Monte Carlo Method (1981)Arbitrage-free discretization of lognormal forward Libor and swap rate models (2000)Martingale Methods in Financial Modelling (1997)Alternative models for stock price dynamics (2003)Multilevel Monte Carlo Path Simulation (2008)On Weak Predictor–Corrector Schemes for Jump-Diffusion Processes in Finance (2012)Pricing discrete path-dependent options under a double exponential jump–diffusion model (2013)Error estimates for the binomial approximation of American put options (1998)Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals (2004)
this work references cited by second hop

References

  • 2016Numerical solution of stochastic differential equations5,096 cited
  • 2010Numerical Solution of Stochastic Differential Equations with Jumps in Finance466 cited
  • 1997The Euler scheme for Lévy driven stochastic differential equations244 cited
  • 2016Numerical Solution of Stochastic Differential Equations223 cited
  • 2005Efficient numerical schemes for the approximation of expectations of functionals of the solution of a S.D.E., and applications106 cited
  • 1995Weak approximation of solutions of systems of stochastic differential equations99 cited
  • 1986Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solution76 cited
  • 1988Time Discrete Taylor Approximations for Itǒ Processes with Jump Component66 cited
  • 1991Rate of Convergence of the Euler Approximation for Diffusion Processes54 cited
  • 2002Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps27 cited

Cited by

  • 2012On the rate of convergence of simple and jump-adapted weak Euler schemes for Lévy driven SDEs16 cited

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