Jump-adapted discretization schemes for Lévy-driven SDEs (Q607278)
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scientific article; zbMATH DE number 5817772
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| English | Jump-adapted discretization schemes for Lévy-driven SDEs |
scientific article; zbMATH DE number 5817772 |
Statements
Jump-adapted discretization schemes for Lévy-driven SDEs (English)
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19 November 2010
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Lévy-driven stochastic differential equation
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Euler scheme
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jump-adapted discretization
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weak approximation
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Libor market model with jumps
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0.9103792309761048
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0.8414294719696045
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0.8313313722610474
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0.8294433355331421
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0.8267301321029663
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