2009年
An optimization approach to weak approximation of Lévy-driven stochastic differential equations with application to option pricing
Proceedings of the IEEE Conference on Decision and Control
- ,
- 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)
- DOI
- 10.1109/CDC.2009.5400355
We propose an optimization approach to weak approximation of Lévy-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 Lévy 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. ©2009 IEEE.
- ID情報
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- DOI : 10.1109/CDC.2009.5400355
- ISSN : 0191-2216
- SCOPUS ID : 77950813646