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Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps

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Abstract

The paper estimates the speed of convergence of the Euler approximation for diffussion processes with jump component which have Holder continuous coefficients.

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File URL: http://www.business.uts.edu.au/qfrc/research/research_papers/rp54.pdf
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Bibliographic Info

Paper provided by Quantitative Finance Research Centre, University of Technology, Sydney in its series Research Paper Series with number 54.

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Date of creation: 01 Jun 2001
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Handle: RePEc:uts:rpaper:54

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Related research

Keywords: diffusion processes; stochastic differential equations; poisson jump measure; euler approximation; simulation algorithm;

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  1. Eckhard Platen, 1999. "An Introduction to Numerical Methods for Stochastic Differential Equations," Research Paper Series 6, Quantitative Finance Research Centre, University of Technology, Sydney.
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Cited by:
  1. Nicola Bruti-Liberati & Eckhard Platen, 2006. "On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance," Research Paper Series 179, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Nicola Bruti-Liberati & Eckhard Platen, 2005. "On the Strong Approximation of Pure Jump Processes," Research Paper Series 164, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Nicola Bruti-Liberati & Eckhard Platen, 2007. "Approximation of jump diffusions in finance and economics," Computational Economics, Society for Computational Economics, vol. 29(3), pages 283-312, May.

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