On the Monitoring Error of the Supremum of a Normal Jump Diffusion Process

DOI10.1239/jap/1324046016zbMath1250.60036MaRDI QIDQ3108472

Renming Song, Liming Feng, Ao Chen

Publication date: 4 January 2012

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1324046016

zbMATH Keywords

Riemann zeta function; discrete monitoring; supremum; Spitzer's identity; Merton model

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

91G60: Numerical methods (including Monte Carlo methods)

65C20: Probabilistic models, generic numerical methods in probability and statistics

Related Items

Stochastic integral representations of the extrema of time-homogeneous diffusion processes, Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach, Multilevel Monte Carlo for exponential Lévy models

Uses Software

• Mulprec

Cites Work

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