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- W4311199807 abstract "The pricing of options in exponential Levy models amounts to the computation of expectations of functionals of Levy processes. In many situations, Monte-Carlo methods are used. However, the simulation of a Levy process with infinite Levy measure generally requires either to truncate small jumps or to replace them by a Brownian motion with the same variance. We will derive bounds for the errors generated by these two types of approximation." @default.
- W4311199807 created "2022-12-24" @default.
- W4311199807 creator A5055953153 @default.
- W4311199807 date "2010-09-23" @default.
- W4311199807 modified "2023-09-23" @default.
- W4311199807 title "Error bounds for small jumps of L'evy processes" @default.
- W4311199807 doi "https://doi.org/10.48550/arxiv.1009.4886" @default.
- W4311199807 hasPublicationYear "2010" @default.
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