Numerical methods for a class of jump-diffusion systems with random magnitudes
From MaRDI portal
Publication:718596
DOI10.1016/j.cnsns.2010.09.029zbMath1221.65017MaRDI QIDQ718596
Publication date: 23 September 2011
Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cnsns.2010.09.029
91G80: Financial applications of other theories
65C30: Numerical solutions to stochastic differential and integral equations
Related Items
Stochastic \(\theta\)-methods for a class of jump-diffusion stochastic pantograph equations with random magnitude, A compensated numerical method for solving stochastic differential equations with variable delays and random jump magnitudes, Convergence of numerical solutions for a class of stochastic age-dependent capital system with random jump magnitudes
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A Jump-Diffusion Model for Option Pricing
- Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems
- Convergence and stability analysis for implicit simulations of stochastic differential equations with random jump magnitudes
- The semi-implicit Euler method for stochastic differential delay equation with jumps
- Numerical solutions of stochastic differential delay equations under local Lipschitz condition
- Convergence of numerical solutions to stochastic delay differential equations with jumps
- Convergence of numerical solutions to stochastic differential delay equations with Poisson jump and Markovian switching
- Numerical methods for nonlinear stochastic differential equations with jumps
- The Order of Approximations for Solutions of Itô-Type Stochastic Differential Equations with Jumps
- Financial Modelling with Jump Processes
- Option pricing when underlying stock returns are discontinuous