Approximation of non-Lipschitz SDEs by Picard iterations - Archive ouverte HAL
Article Dans Une Revue Applied Mathematical Finance Année : 2018

Approximation of non-Lipschitz SDEs by Picard iterations

Résumé

In this paper, we propose an approximation method based on Picard iterations deduced from the Doléans–Dade exponential formula. Our method allows to approximate trajectories of Markov processes in a large class, e.g. solutions to non-Lipchitz SDEs. An application to the pricing of Asian-style contingent claims in the CEV model is presented and compared to other methods of the literature.
Fichier principal
Vignette du fichier
AMF-28-07-18.pdf (452.11 Ko) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-01397399 , version 1 (15-11-2016)
hal-01397399 , version 2 (28-08-2018)

Identifiants

  • HAL Id : hal-01397399 , version 2

Citer

Julien Baptiste, Julien Grepat, Emmanuel Lépinette. Approximation of non-Lipschitz SDEs by Picard iterations. Applied Mathematical Finance, 2018, 25(2018) (2), pp.148-179. ⟨hal-01397399v2⟩
146 Consultations
289 Téléchargements

Partager

More