An approximation of small-time probability density functions in a general jump diffusion model

DOI10.1016/J.AMC.2015.10.003MaRDI QIDQ668543zbMATH OpenOpenAlexFDO

Authors Juan-Miguel Gracia

Publication date 19 March 2019

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2015.10.003

zbMATH Keywords

probability density functionscharacteristic functionsstochastic volatility modelsjump diffusion processItô-Taylor expansions

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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Cites work

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• Higher-order implicit strong numerical schemes for stochastic differential equations
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• Levy's stochastic area formula in higher dimensions
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• Probability distribution of returns in the Heston model with stochastic volatility
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Cited in

(3)

• Exact distributions in a jump-diffusion storage model.
• CVaR-based optimization of environmental flow via the Markov lift of a mixed moving average process
• Density approximations for multivariate affine jump-diffusion processes

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