2009年
An optimization approach to weak approximation of Levy-driven stochastic differential equations with application to option pricing
PROCEEDINGS OF THE 48TH IEEE CONFERENCE ON DECISION AND CONTROL, 2009 HELD JOINTLY WITH THE 2009 28TH CHINESE CONTROL CONFERENCE (CDC/CCC 2009)
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- 開始ページ
- 3673
- 終了ページ
- 3678
- 記述言語
- 英語
- 掲載種別
- 研究論文(国際会議プロシーディングス)
- 出版者・発行元
- IEEE
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 also investigate methods for approximation at some different intermediate time points simultaneously.
- リンク情報
- ID情報
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- ISSN : 0743-1546
- Web of Science ID : WOS:000336893604028