Sampling Brownian house-moving

DOI10.14495/JSIAML.14.131zbMath1498.60319OpenAlexW4312580938MaRDI QIDQ5047154

Kensuke Ishitani

Publication date: 9 November 2022

Published in: JSIAM Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.14495/jsiaml.14.131

zbMATH Keywords

Brownian bridgeGreeksbarrier optionsBES(3)-bridgeBrownian house-moving

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Cites Work

• Computation of first-order Greeks for barrier options using chain rules for Wiener path integrals

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