A numerical scheme for expectations with first hitting time to smooth boundary (Q2011048): Difference between revisions
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| Property / cites work: On a symmetrization of diffusion processes / rank | |||
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| Property / cites work: Weak approximation of killed diffusion using Euler schemes. / rank | |||
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| Property / cites work: Hyperbolic symmetrization of Heston type diffusion / rank | |||
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| Property / cites work: Symmetrization associated with hyperbolic reflection principle / rank | |||
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| Property / cites work: A numerical scheme based on semi-static hedging strategy / rank | |||
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Revision as of 04:05, 21 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A numerical scheme for expectations with first hitting time to smooth boundary |
scientific article |
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A numerical scheme for expectations with first hitting time to smooth boundary (English)
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28 November 2019
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barrier option price
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first hitting time
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nonlinear smooth boundary
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reflection principle
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symmetrization of multi-dimensional diffusion
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