Sampling Brownian house-moving

DOI10.14495/JSIAML.14.131MaRDI QIDQ5047154zbMATHOpenAlexFDO

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

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)

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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

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