Jump Adapted Scheme Of a Non Mark Dependent Jump Diffusion Process with Application to the Merton Jump Diffusion Model


  •  Renaud Fadonougbo    
  •  George Orwa    

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.


This work is licensed under a Creative Commons Attribution 4.0 License.
  • ISSN(Print): 1927-7032
  • ISSN(Online): 1927-7040
  • Started: 2012
  • Frequency: bimonthly

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