Adaptive Monte Carlo Algorithms for Stopped Diffusion

DOI10.1007/3-540-26444-2_3zbMath1117.65302OpenAlexW113227339MaRDI QIDQ5703077

Raúl Tempone, Anna Dzougoutov, Kyoung-Sook Moon, Anders Szepessy, Erik von Schwerin

Publication date: 8 November 2005

Published in: Lecture Notes in Computational Science and Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/3-540-26444-2_3

zbMATH Keywords

Monte Carlo methodweak approximationItô stochastic differential equationbarrier optionNumerical resultsMonte Carlo Euler methodadaptive mesh refinement algorithmdiffusion with boundary

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (9)

An analytical approximation for single barrier options under stochastic volatility models ⋮ Convergence Rates for Adaptive Weak Approximation of Stochastic Differential Equations ⋮ Error estimation and uncertainty quantification for first time to a threshold value ⋮ Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias ⋮ A posteriori error analysis and adaptivity for high-dimensional elliptic and parabolic boundary value problems ⋮ Computable error estimates of a finite difference scheme for option pricing in exponential Lévy models ⋮ Adaptive lattice methods for multi-asset models ⋮ On Monte Carlo algorithms applied to Dirichlet problems for parabolic operators in the setting of time-dependent domains ⋮ SDE Based Regression for Linear Random PDEs

This page was built for publication: Adaptive Monte Carlo Algorithms for Stopped Diffusion