A numerical scheme based on semi-static hedging strategy

DOI10.1515/MCMA-2014-0002zbMath1303.91190arXiv1206.2934OpenAlexW2159648939MaRDI QIDQ487521

Yuri Imamura, Yuta Ishigaki, Toshiki Okumura

Publication date: 22 January 2015

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1206.2934

zbMATH Keywords

stochastic volatility modelsstatic hedgingbarrier optionsput-call symmetry

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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On the convergence order of a binary tree approximation of symmetrized diffusion processes ⋮ A numerical scheme for expectations with first hitting time to smooth boundary ⋮ Carr-Nadtochiy's weak reflection principle for Markov chains on \(\mathbb{Z}^d\) ⋮ Hyperbolic symmetrization of Heston type diffusion ⋮ Analytical pricing of single barrier options under local volatility models ⋮ Symmetrization associated with hyperbolic reflection principle ⋮ Stability Problem for One-Dimensional Stochastic Differential Equations with Discontinuous Drift

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