A numerical scheme for expectations with first hitting time to smooth boundary
DOI10.1007/s10690-019-09278-0zbMath1425.91428OpenAlexW2953880773WikidataQ127676900 ScholiaQ127676900MaRDI QIDQ2011048
Toshiki Okumura, Yuta Ishigaki, Yuji Hishida
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
reflection principlefirst hitting timebarrier option pricenonlinear smooth boundarysymmetrization of multi-dimensional diffusion
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)
Related Items
Cites Work