http://www.cnr.it/ontology/cnr/individuo/prodotto/ID8213
Asymptotic high-order schemes for integro-differential problems arising in markets with jumps (Articolo in rivista)
- Type
- Label
- Asymptotic high-order schemes for integro-differential problems arising in markets with jumps (Articolo in rivista) (literal)
- Anno
- 2006-01-01T00:00:00+01:00 (literal)
- Alternative label
- Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#autori
- Briani M., Natalini R. (literal)
- Pagina inizio
- Pagina fine
- Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#numeroVolume
- Rivista
- Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#descrizioneSinteticaDelProdotto
- Studio di metodi numerici che sfruttano l'analisi qualitativa delle soluzioni per migliorare la loro accuratezza per grandi tempi.
(literal)
- Note
- ISI Web of Science (WOS) (literal)
- Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#affiliazioni
- LUISS G. Carli;
Istituto per le applicazioni del Calcolo \"M. Picone\", Roma (literal)
- Titolo
- Asymptotic high-order schemes for integro-differential problems arising in markets with jumps (literal)
- Abstract
- In this paper we deal with the numerical approximation of
integro-differential equations arising in financial applications
in which jump processes act as the underlying stochastic processes.
Our aim is to find finite differences schemes which are high-order accurate
for large time simulations.
Therefore, we study the asymptotic time behavior of such equations
and we define as {\it asymptotic high-order schemes} those schemes
that are consistent
with this behavior.
Numerical tests are presented to investigate the
efficiency and the accuracy of such approximations. (literal)
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- Autore CNR
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