A numerical scheme for expectations with first hitting time to smooth boundary (Q2011048)
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scientific article; zbMATH DE number 7138150
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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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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0.7285487651824951
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0.7149885892868042
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0.7087906002998352
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0.7047457098960876
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