Convergence rate of Markov chains and hybrid numerical schemes to jump-diffusion with application to the Bates model (Q5151932)
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scientific article; zbMATH DE number 7314379
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| English | Convergence rate of Markov chains and hybrid numerical schemes to jump-diffusion with application to the Bates model |
scientific article; zbMATH DE number 7314379 |
Statements
Convergence Rate of Markov Chains and Hybrid Numerical Schemes to Jump-Diffusion with Application to the Bates Model (English)
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23 February 2021
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jump-diffusion processes
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PIDES
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weak convergence
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tree methods
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finite difference
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stochastic volatility
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European options
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0.7837316989898682
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0.7807219624519348
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0.7424271106719971
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0.7414802312850952
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0.735088586807251
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