Kenji Kashima, Reiichiro Kawai. An optimization approach to weak approximation of Lévy-driven stochastic differential equations with application to option pricing. In Proceedings of the 48th IEEE Conference on Decision and Control, CDC 2009, combined withe the 28th Chinese Control Conference, December 16-18, 2009, Shanghai, China. pages 3673-3678, IEEE, 2009. [doi]
Abstract is missing.