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Article Dans Une Revue Advances in Applied Probability Année : 2013

Error bounds for small jumps of Lévy processes

Résumé

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.
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Dates et versions

hal-00520217 , version 1 (23-09-2010)
hal-00520217 , version 2 (09-02-2011)
hal-00520217 , version 3 (17-10-2011)
hal-00520217 , version 4 (12-06-2012)
hal-00520217 , version 5 (04-10-2012)

Identifiants

Citer

El Hadj Aly Dia. Error bounds for small jumps of Lévy processes. Advances in Applied Probability, 2013, 45 (1), pp.86-105. ⟨hal-00520217v5⟩
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