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- W1954570714 abstract "We propose an optimization approach to weak approximation of Levy-driven stochastic differential equations. We employ a mathematical programming framework to obtain numerically upper and lower bound estimates of the target expectation, where the optimization procedure ends up with a polynomial programming problem. An advantage of our approach is that all we need is a closed form of the Levy measure, not the exact simulation knowledge of the increments or of a shot noise representation for the time discretization approximation. We present numerical examples of the computation of the moments, as well as the European call option premium, of the Doleans-Dade exponential model." @default.
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- W1954570714 date "2009-11-13" @default.
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- W1954570714 title "Polynomial programming approach to weak approximation of Lévy-driven stochastic differential equations with application to option pricing" @default.
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