Symmetrization associated with hyperbolic reflection principle

DOI10.1186/s40736-017-0035-2zbMath1426.91267OpenAlexW2783177429MaRDI QIDQ2333272

Tomohiro Matsumoto, Tsuyoshi Kinoshita, Yuuki Ida

Publication date: 12 November 2019

Published in: Pacific Journal of Mathematics for Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s40736-017-0035-2

zbMATH Keywords

symmetrizationreflection principlebarrier optionEuler-Maruyama schemehyperbolic Brownian motion

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (4)

Reflection principle for finite-velocity random motions ⋮ A numerical scheme for expectations with first hitting time to smooth boundary ⋮ Carr-Nadtochiy's weak reflection principle for Markov chains on \(\mathbb{Z}^d\) ⋮ Hyperbolic symmetrization of Heston type diffusion

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• Probability Distribution in the SABR Model of Stochastic Volatility
• On a symmetrization of diffusion processes
• Stability Problem for One-Dimensional Stochastic Differential Equations with Discontinuous Drift

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