Numerical Approximation Of The Solution Of The Stochastic Differential Equation With Jump

Stochastic differential equation is a classic topic,has important application in mathematical finance,such as Black-Scholes option pricing model.However,many of the major events such as new inventions,war,economic policy and so on all can cause the price of all of a sudden jump.Therefore,relatively continuous diffusion process,stochastic differential equations with jump better describes the behavior of the market.Jump diffusion stochastic differential equation is a hotspot of research in recent years,are widely used in financial,stock price and so on.In order to better will jump diffusion stochastic differential equations with real life,now the word has a large number of research papers about jump diffusion stochastic differential equation numerical solution,proposed many jump diffusion stochastic differential equations of the numerical simulation methods.This article mainly introduced the pricing model of stock pricing formula in the numerical simulation.The pricing formula is a jump diffusion stochastic differential equations.we use two methods Euler,Mi Istein – Maghsoodi,jump to Euler and MiIstein-Maghsoodi four methods are numerically simulated.By examples,we compare the advantages and disadvantages of four methods,which provide a more reasonable for the stock price research and prediction.