A numerical scheme for expectations with first hitting time to smooth boundary (Q2011048)
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scientific article; zbMATH DE number 7138150
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| English | A numerical scheme for expectations with first hitting time to smooth boundary |
scientific article; zbMATH DE number 7138150 |
Statements
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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