Jump Adapted Scheme Of a Non Mark Dependent Jump Diffusion Process with Application to the Merton Jump Diffusion Model
Renaud Fadonougbo, George Otieno Orwa
Abstract
Open-access reader
Renaud Fadonougbo, George Otieno Orwa
Abstract
Open-access reader
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.
Key concepts: Jump diffusion, Jump, Discretization, Jump process, Diffusion, Mathematics, Convergence (economics), Diffusion process