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|Title:||An optimization approach to weak approximation of Lévy-driven stochastic differential equations with application to option pricing|
|Citation:||Proceedings of the 48th IEEE Conference on Decision and Control held jointly with the 2009 28th Chinese Control Conference, 2009, pp. 3673-3678.|
|Abstract:||We propose an optimization approach to weak approximation of Lévy-driven stochastic differential equations. We employ a mathematical programming framework to obtain numerically upper and lower bound estimates of the target expectation, where the optimization procedure ends up with a polynomial programming problem. An advantage of our approach is that all we need is a closed form of the Lévy measure, not the exact simulation knowledge of the increments or of a shot noise representation for the time discretization approximation. We also investigate methods for approximation at some different intermediate time points simultaneously.|
|Rights:||© 2009 IEEE. Deposited with reference to the publisher's archiving policy available on SHERPA/RoMEO.|
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|Appears in Collections:||Conference Papers & Presentations, Dept. of Mathematics|
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