A numerical scheme for expectations with first hitting time to smooth boundary

DOI10.1007/S10690-019-09278-0zbMATH Open1425.91428OpenAlexW2953880773WikidataQ127676900 ScholiaQ127676900MaRDI QIDQ2011048FDOQ2011048

Authors: Yuji Hishida, Yuta Ishigaki, Toshiki Okumura 

Publication date: 28 November 2019

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-019-09278-0

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zbMATH Keywords

first hitting timereflection principlebarrier option pricenonlinear smooth boundarysymmetrization of multi-dimensional diffusion

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)

Cites Work

• Title not available (Why is that?)
• Weak approximation of killed diffusion using Euler schemes.
• A numerical scheme based on semi-static hedging strategy
• On a symmetrization of diffusion processes
• Hyperbolic symmetrization of Heston type diffusion
• Symmetrization associated with hyperbolic reflection principle

Cited In (1)

• Carr-Nadtochiy's weak reflection principle for Markov chains on \(\mathbb{Z}^d\)

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