Optimal simulation schemes for Lévy driven stochastic differential equations
Work
Year: 2013
Type: article
Abstract: We consider a general class of high order weak approximation schemes for stochastic differential equations driven by Lévy processes with infinite activity. These schemes combine a compound Poisson app... more
Source: Mathematics of Computation
Institutions Ritsumeikan University, Japan Science and Technology Agency, University of Oslo, Université Paris Cité, Délégation Paris 7
Cites: 23
Cited by: 11
Related to: 10
FWCI: 1.317
Citation percentile (by year/subfield): 82.53
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze