Convergence of Numerical Approximation for Jump Models Involving Delay and Mean-Reverting Square Root Process (Q3168702)
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scientific article; zbMATH DE number 5879790
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| English | Convergence of Numerical Approximation for Jump Models Involving Delay and Mean-Reverting Square Root Process |
scientific article; zbMATH DE number 5879790 |
Statements
Convergence of Numerical Approximation for Jump Models Involving Delay and Mean-Reverting Square Root Process (English)
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19 April 2011
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Euler-Maruyama method
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mean-square convergence
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mean-reverting square root diffusion
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jump diffusion
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Poisson process
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Wiener process
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financial applications
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0.91416013
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0.9063941
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0.9026933
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0.8827094
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0.8801885
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0.8786749
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0.8785023
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0.87818915
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