Numerical evaluation of dynamic behavior of Ornstein-Uhlenbeck processes modified by various boundaries and its application to pricing barrier options (Q631490)
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scientific article; zbMATH DE number 5865375
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| English | Numerical evaluation of dynamic behavior of Ornstein-Uhlenbeck processes modified by various boundaries and its application to pricing barrier options |
scientific article; zbMATH DE number 5865375 |
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Numerical evaluation of dynamic behavior of Ornstein-Uhlenbeck processes modified by various boundaries and its application to pricing barrier options (English)
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14 March 2011
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prices of barrier options
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modified Ornstein-Uhlenbeck (O-U) process
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absorbing boundaries
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replacement boundaries
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reflection boundaries
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uniformization procedure
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0.8470997214317322
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0.7599355578422546
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0.7559285163879395
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