科研之友
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摘要
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 truncating or replacing the small jumps by a Brownian motion with the same variance. We will derive bounds for the errors generated by these two types of approximation.
- 出版日期2013-3
