摘要翻译：
指数Levy模型中的期权定价相当于计算Levy过程泛函的期望值。在许多情况下，蒙特卡罗方法被使用。然而，对具有无限Levy测度的Levy过程的模拟通常需要截断小跳跃或用具有相同方差的布朗运动代替它们。我们将推导出这两种近似所产生的误差的界限。
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英文标题：
《Error bounds for small jumps of L\'evy processes》
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作者：
El Hadj Aly Dia (LAMA)
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最新提交年份：
2012
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  The pricing of options in exponential Levy models amounts to the computation of expectations of functionals of Levy processes. In many situations, Monte-Carlo methods are used. However, the simulation of a Levy process with infinite Levy measure generally requires either to truncate small jumps or to replace them by a Brownian motion with the same variance. We will derive bounds for the errors generated by these two types of approximation.
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PDF链接：
https://arxiv.org/pdf/1009.4886