Diffusion approximation of Lévy processes with a view towards finance

Mathematics

• Lvy Process 100%
• Diffusion Approximation 100%
• Truncation 100%
• Numerical Experiment 66%
• Error Estimate 66%
• Error Expansion 33%
• Leading Order Term 33%
• Infinite Activity 33%
• Approximates 33%
• Barrier Option 33%
• Main Result 33%
• Good Approximation 33%

Keyphrases

• Lvy Processes 100%
• Diffusion Approximation 100%
• Truncation Level 66%
• Infinite Activity 33%
• Barrier Options 33%
• Log Price 33%
• Smooth Density 33%
• Dependent Structure 33%
• Adaptive Truncation 33%
• Finite Activity 33%
• European Contract 33%
• Adaptive Approximation 33%

Economics, Econometrics and Finance

• Option Trading 100%