Addendum to “Numerical Solution of Jump-Diffusion LIBOR Market Models”
نویسندگان
چکیده
This addendum provides a detailed proof of Theorem 6.1 in Glasserman and Merener [1], establishing the convergence order of a discretization scheme.
منابع مشابه
Cap and swaption approximations in Libor market models with jumps
URL: www.thejournalofcomputationalfinance.com This paper develops formulas for pricing caps and swaptions in Libor market models with jumps. The arbitrage-free dynamics of this class of models were characterized in Glasserman and Kou (2003) in a framework allowing for very general jump processes. For computational purposes, it is convenient to model jump times as Poisson processes; however, the...
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