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논문 기본 정보
- 자료유형
- 학술대회자료
- 저자정보
- 발행연도
- 2009.8
- 수록면
- 3,902 - 3,907 (6page)
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초록· 키워드
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We propose an optimization approach to weak approximation of Levy-driven stochastic differential equations. We employ a mathematical progrmming 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. Whe present numerical examples of the computation of the moments, as well as the European call option premium, of the Doleans-Dade exponential model.
목차
Abstract
1. INTRODUCTION
2. PROBLEM SETTING
3. MAIN RESULT
4. APPLICATION TO OPTION PRICING
5. CONCLUSION
REFERENCES
APPENDIX
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UCI(KEPA) : I410-ECN-0101-2014-569-000759530