Convergence Rate of Markov Chains and Hybrid Numerical Schemes to Jump-Diffusion with Application to the Bates Model

Maya Briani, Lucia Caramellino, Giulia Terenzi. Convergence Rate of Markov Chains and Hybrid Numerical Schemes to Jump-Diffusion with Application to the Bates Model. SIAM J. Numerical Analysis, 59(1):477-502, 2021. [doi]

Abstract

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