Jump Adapted Scheme Of a Non Mark Dependent Jump Diffusion Process with Application to the Merton Jump Diffusion Model

  •  Renaud Fadonougbo    
  •  George Orwa    


This paper provides a complete proof of the strong convergence of the Jump adapted discretization Scheme in the univariate and mark independent jump diffusion process case. We put in detail and clearly a known and general result for mark dependent jump diffusion process. A Monte-Carlo simulation is used as well to show numerical evidence.

This work is licensed under a Creative Commons Attribution 4.0 License.
  • Issn(Print): 1927-7032
  • Issn(Onlne): 1927-7040
  • Started: 2012
  • Frequency: bimonthly

Journal Metrics

Google-based Impact Factor (2018): 2.7

  • h-index (August 2018): 11
  • i10-index (August 2018): 15
  • h5-index (August 2018): 9
  • h5-median(August 2018): 16

( The data was calculated based on Google Scholar Citations. Click Here to Learn More. )