Jump systems with the mean-reverting gamma-process and convergence of the numerical approximation.

Feng Jiang, Yi Shen, Fuke Wu

Research output: Contribution to journalArticleResearchpeer-review

4 Citations (Scopus)

Abstract

In this paper, a class of jump systems with the mean-reverting gamma-process are considered in finance. The analytical properties including the positivity, boundedness and pathwise estimations of the solution are discussed. Moreover, the authors show that the Euler-Maruyama approximate solutions converge to the true solutions in probability. Finally, the authors apply the convergence to examine a bond and a path-dependent option price in the financial pricing.
Original languageEnglish
Pages (from-to)1150018-1 - 1150018-15
Number of pages15
JournalStochastics and Dynamics
Volume12
Issue number2
DOIs
Publication statusPublished - 2012
Externally publishedYes

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