Sampling Brownian house-moving

DOI10.14495/JSIAML.14.131zbMATH Open1498.60319OpenAlexW4312580938MaRDI QIDQ5047154FDOQ5047154

Authors: 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

Recommendations

• Brownian motion, bridge excursion, and meander characterized by sampling at independent uniform times
• \(\varepsilon\)-strong simulation of the Brownian path
• A factorisation of diffusion measure and finite sample path constructions
• scientific article; zbMATH DE number 227629
• On exact simulation algorithms for some distributions related to Brownian motion and Brownian meanders

zbMATH Keywords

Brownian bridgeGreeksbarrier optionsBES(3)-bridgeBrownian house-moving

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (1)

• Construction and sample path properties of Brownian house-moving between two curves

This page was built for publication: Sampling Brownian house-moving

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5047154)