Showing items with similar title or keywords.

• An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps 

  Salmi, Santtu; Toivanen, Jari; von Sydow, Lina (Society for Industrial and Applied Mathematics, 2014)

  Partial integro-differential equation (PIDE) formulations are often preferable for pricing options under models with stochastic volatility and jumps, especially for American-style option contracts. We consider the pricing ...

• Mean square rate of convergence for random walk approximation of forward-backward SDEs 

  Geiss, Christel; Labart, Céline; Luoto, Antti (Cambridge University Press (CUP), 2020)

  Let (Y, Z) denote the solution to a forward-backward stochastic differential equation (FBSDE). If one constructs a random walk from the underlying Brownian motion B by Skorokhod embedding, one can show -convergence of ...

• Donsker-type theorem for BSDEs : Rate of convergence 

  Briand, Philippe; Geiss, Christel; Geiss, Stefan; Labart, Céline (International Statistical Institute, 2021)

  In this paper, we study in the Markovian case the rate of convergence in Wasserstein distance when the solution to a BSDE is approximated by a solution to a BSDE driven by a scaled random walk as introduced in Briand, ...

• Approximation of heat equation and backward SDEs using random walk : convergence rates 

  Luoto, Antti (University of Jyväskylä, 2018)

  This thesis addresses questions related to approximation arising from the fields of stochastic analysis and partial differential equations. Theoretical results regarding convergence rates are obtained by using discretization ...

• Generalized finite difference schemes with higher order Whitney forms 

  Kettunen, Lauri; Lohi, Jonni; Räbinä, Jukka; Mönkölä, Sanna; Rossi, Tuomo (EDP Sciences, 2021)

  Finite difference kind of schemes are popular in approximating wave propagation problems in finite dimensional spaces. While Yee’s original paper on the finite difference method is already from the sixties, mathematically ...