Advances in Applied Probability
- Adv. in Appl. Probab.
- Volume 45, Number 1 (2013), 86-105.
Error bounds for small jumps of Lvy processes
The pricing of options in exponential Lévy models amounts to the computation of expectations of functionals of Lévy processes. In many situations, Monte Carlo methods are used. However, the simulation of a Lévy process with infinite Lévy measure generally requires either truncating or replacing the small jumps by a Brownian motion with the same variance. We will derive bounds for the errors generated by these two types of approximation.
Adv. in Appl. Probab., Volume 45, Number 1 (2013), 86-105.
First available in Project Euclid: 15 March 2013
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 60G51: Processes with independent increments; Lévy processes 65N15: Error bounds
Secondary: 60J75: Jump processes
Dia, E. H. A. Error bounds for small jumps of Lvy processes. Adv. in Appl. Probab. 45 (2013), no. 1, 86--105. doi:10.1239/aap/1363354104. https://projecteuclid.org/euclid.aap/1363354104