Approximation of jump diffusions in finance and economics

DOI10.1007/s10614-006-9066-yzbMath1161.91384OpenAlexW1989866077MaRDI QIDQ2642601

Eckhard Platen, Nicola Bruti-Liberati

Publication date: 17 August 2007

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://www.uts.edu.au/sites/default/files/qfr-archive-02/QFR-rp176.pdf

zbMATH Keywords

SimulationWeak convergenceStrong convergenceJump-diffusion processesBenchmark approachDiscrete time approximationGrowth Optimal portfolio

Mathematics Subject Classification ID

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