Jump Adapted Scheme Of a Non Mark Dependent Jump Diffusion Process with Application to the Merton Jump Diffusion Model
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Bibliographic record
Abstract
This paper provides a complete proof of the strong convergence of the Jump adapted discretization Scheme in the univariate and mark independent jump diffusion process case. We put in detail and clearly a known and general result for mark dependent jump diffusion process. A Monte-Carlo simulation is used as well to show numerical evidence.
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Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.000 | 0.000 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.000 | 0.000 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.000 |
| Open science | 0.001 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
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