finite difference approximationjump processesmatrix eigendecompositionoption pricingsubordinate diffusionstime change
Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Diffusion processes (60J60) Numerical solutions to stochastic differential and integral equations (65C30) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80)
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Cites work
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Cited in
(24)- A general framework for time-changed Markov processes and applications
- Pure jump models for pricing and hedging VIX derivatives
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- Pricing and hedging autocallable products by Markov chain approximation
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