Bruti-Liberati, Nicola; Platen, Eckhard - In: Computational Economics 29 (2007) 3, pp. 283-312
In finance and economics the key dynamics are often specified via stochastic differential equations (SDEs) of jump-diffusion type. The class of jump-diffusion SDEs that admits explicit solutions is rather limited. Consequently, discrete time approximations are required. In this paper we give a...