The $$n$$n-term Approximation of Periodic Generalized Lévy Processes
نویسندگان
چکیده
منابع مشابه
Diffusion approximation of Lévy processes with a view towards finance
Let the (log-)prices of a collection of securities be given by a d–dimensional Lévy process Xt having infinite activity and a smooth density. The value of a European contract with payoff g(x) maturing at T is determined by E[g(XT )]. Let X̄T be a finite activity approximation to XT , where diffusion is introduced to approximate jumps smaller than a given truncation level ! > 0. The main result o...
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ژورنال
عنوان ژورنال: Journal of Theoretical Probability
سال: 2019
ISSN: 0894-9840,1572-9230
DOI: 10.1007/s10959-018-00877-7