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

DOI10.1007/S10690-019-09278-0MaRDI QIDQ2011048zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

barrier option pricefirst hitting timenonlinear smooth boundaryreflection principlesymmetrization of multi-dimensional diffusion

Mathematics Subject Classification ID

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

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Cites work

• A numerical scheme based on semi-static hedging strategy
• Continuous martingales and Brownian motion.
• Hyperbolic symmetrization of Heston type diffusion
• On a symmetrization of diffusion processes
• Symmetrization associated with hyperbolic reflection principle
• Weak approximation of killed diffusion using Euler schemes.

Cited in

(1)

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

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