Abstract
The occurrence of shocks in the financial market is well known and, since the 1976 paper of the Noble Prize laureate R.C. Merton, there have been numerous attempts to incorporated them into financial models. Such models often result in jump-diffusion stochastic differential equations. This chapter describes the use of MAPLE for such equations, in particular for the derivation of numerical schemes. It can be regarded as an addendum to the chapter in this book by [5], which can be referred to for general background and additional literature on stochastic differential equations and MAPLE. All the MAPLE code in this paper
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Cyganowski, S., Grüne, L., Kloeden, P.E. (2002). MAPLE for Jump—Diffusion Stochastic Differential Equations in Finance. In: Nielsen, S.S. (eds) Programming Languages and Systems in Computational Economics and Finance. Advances in Computational Economics, vol 18. Springer, Boston, MA. https://doi.org/10.1007/978-1-4615-1049-9_15
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DOI: https://doi.org/10.1007/978-1-4615-1049-9_15
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