2017International Journal of Statistics and ProbabilityOpen access

Jump Adapted Scheme Of a Non Mark Dependent Jump Diffusion Process with Application to the Merton Jump Diffusion Model

Renaud Fadonougbo, George Otieno Orwa

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Abstract

This paper provides a complete proof of the strong convergence of the Jump adapted discretization Scheme in the univariate and mark independent jump diffusion process case. We put in detail and clearly a known and general result for mark dependent jump diffusion process. A Monte-Carlo simulation is used as well to show numerical evidence.

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This paper provides a complete proof of the strong convergence of the Jump adapted discretization Scheme in the univariate and mark independent jump diffusion process case. We put in detail and clearly a known and general result for mark dependent jump diffusion process. A Monte-Carlo simulation is used as well to show numerical evidence.

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Available abstract

This paper provides a complete proof of the strong convergence of the Jump adapted discretization Scheme in the univariate and mark independent jump diffusion process case. We put in detail and clearly a known and general result for mark dependent jump diffusion process. A Monte-Carlo simulation is used as well to show numerical evidence.

Key concepts: Jump diffusion, Jump, Discretization, Jump process, Diffusion, Mathematics, Convergence (economics), Diffusion process

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