Diffusion approximation of Lévy processes with a view towards finance
type: Item
instance of: scholarly article
title: Diffusion approximation of Lévy processes with a view towards finance
zbMATH Open document ID: 1214.60017
DOI: 10.1515/MCMA.2011.003
author: Jonas Kiessling
author: R. Tempone
published in: Monte Carlo Methods and Applications
publication date: 2011-04-19T00:00:00Z
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 60J60
zbMATH DE Number: 5879719
zbMATH Keywords: Lévy process
zbMATH Keywords: infinite activity
zbMATH Keywords: diffusion approximation
zbMATH Keywords: Monte Carlo
zbMATH Keywords: weak approximation
zbMATH Keywords: error expansion
zbMATH Keywords: a posteriori error estimates
zbMATH Keywords: adaptivity
zbMATH Keywords: error control
zbMATH Keywords: mathematical finance
MaRDI profile type: MaRDI publication profile
cites work: Approximations of small jumps of Lévy processes with a view towards simulation
cites work: Stochastic Volatility for Lévy Processes
cites work: Gaussian approximation of multivariate Lévy processes with applications to simulation of tempered stable processes
cites work: The Variance Gamma Process and Option Pricing
cites work: Adaptive Weak Approximation of Diffusions with Jumps
cites work: On the existence of smooth densities for jump processes
cites work: Adaptive weak approximation of stochastic differential equations
full work available at URL: mcma.2011.003
OpenAlex ID: W2044677636
Recommended article: Q4535130
Recommended article: Malliavin Calculus for Lévy Processes with Applications to Finance
Recommended article: Q4486401
Recommended article: APPROXIMATING LÉVY PROCESSES WITH A VIEW TO OPTION PRICING
Recommended article: Approximation of jump diffusions in finance and economics
Recommended article: Derivatives of diffusions with applications in finance
Recommended article: Approximation and simulation of infinite-dimensional Lévy processes
Recommended article: Q4261714
Recommended article: Q2716350
description: scientific article; zbMATH DE number 5879719