Convergence of a discretization scheme for jump-diffusion processes with state-dependent intensities

Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences

Volumn 460, Issue 2041, 2004, Pages 111-127

  Glasserman, Paul ^a   Merener, Nicolas ^a  

^a Och Spine at New York Presbyterian Hospitals   (United States)

Author keywords

Financial mathematics; Monte Carlo methods; Stochastic differential equations

Indexed keywords

CONFERENCE PAPER; FINANCE; MATHEMATICAL ANALYSIS; MATHEMATICAL MODEL; MONTE CARLO METHOD; SIMULATION; TECHNIQUE; THEORETICAL MODEL;

EID: 1542616972     PISSN: 13645021     EISSN: 14712946     Source Type: Journal    
DOI: 10.1098/rspa.2003.1237     Document Type: Conference Paper

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