Exact Monte Carlo simulation of killed diffusions

DOI10.1239/aap/1208358896zbMath1142.65006OpenAlexW2092098347MaRDI QIDQ5387088

Gareth O. Roberts, Bruno Casella

Publication date: 15 May 2008

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1208358896

zbMATH Keywords

algorithmstochastic differential equationnumerical exampleoption pricingMonte Carlo simulationdiffusionsfinance

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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