Jump-adapted discretization schemes for Lévy-driven SDEs
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- Jérémy Poirot & Peter Tankov, 2006. "Monte Carlo Option Pricing for Tempered Stable (CGMY) Processes," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(4), pages 327-344, December.
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- Arturo Kohatsu-Higa & Salvador Ortiz-Latorre & Peter Tankov, 2012. "Optimal simulation schemes for L\'evy driven stochastic differential equations," Papers 1204.4877, arXiv.org.
- Mikulevicius, R., 2012. "On the rate of convergence of simple and jump-adapted weak Euler schemes for Lévy driven SDEs," Stochastic Processes and their Applications, Elsevier, vol. 122(7), pages 2730-2757.
- Alaya, Mohamed Ben & Hajji, Kaouther & Kebaier, Ahmed, 2016. "Importance sampling and statistical Romberg method for Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 126(7), pages 1901-1931.
- Antonis Papapantoleon & John Schoenmakers & David Skovmand, 2011. "Efficient and accurate log-L\'evy approximations to L\'evy driven LIBOR models," Papers 1106.0866, arXiv.org, revised Jan 2012.
- Rey, Clément, 2019. "Approximation of Markov semigroups in total variation distance under an irregular setting: An application to the CIR process," Stochastic Processes and their Applications, Elsevier, vol. 129(2), pages 539-571.
- Rosenbaum, Mathieu & Tankov, Peter, 2011. "Asymptotic results for time-changed Lévy processes sampled at hitting times," Stochastic Processes and their Applications, Elsevier, vol. 121(7), pages 1607-1632, July.
- Rey Clément, 2017. "Convergence in total variation distance of a third order scheme for one-dimensional diffusion processes," Monte Carlo Methods and Applications, De Gruyter, vol. 23(1), pages 1-12, March.
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Keywords
Lévy-driven stochastic differential equation Euler scheme Jump-adapted discretization Weak approximation Libor market model with jumps;Statistics
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