Discrete-time approximation of functionals in models of Ornstein-Uhlenbeck type, with applications to finance

DOI10.1007/s11009-013-9351-xzbMath1339.60117OpenAlexW1982942445MaRDI QIDQ2516384

Michael Schröder

Publication date: 31 July 2015

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-013-9351-x

zbMATH Keywords

Lévy processesorthogonal polynomialsnumerical methodsstochastic volatility modelsdiscrete-time approximationscontingent claim valuationgeneralized Ornstein-Uhlenbeck processesLaguerre reduction series

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Stationary stochastic processes (60G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical approximation and evaluation of special functions (33F05) Probabilistic methods, stochastic differential equations (65C99)

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