Sufficient Poisson jump diffusion market models revisited
نویسندگان
چکیده
منابع مشابه
Addendum to “Numerical Solution of Jump-Diffusion LIBOR Market Models”
This addendum provides a detailed proof of Theorem 6.1 in Glasserman and Merener [1], establishing the convergence order of a discretization scheme.
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ژورنال
عنوان ژورنال: Proceedings of the American Mathematical Society
سال: 2001
ISSN: 0002-9939,1088-6826
DOI: 10.1090/s0002-9939-01-06094-4