On the convergence order of a binary tree approximation of symmetrized diffusion processes

DOI10.1016/j.matcom.2023.03.030MaRDI QIDQ6108197

Jie Yen Fan, Yuri Imamura, Jirô Akahori

Publication date: 29 June 2023

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

zbMATH Keywords

Brownian motionMarkov chainnumerical analysisconvergence orderbarrier optionsymmetrized diffusion

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Brownian motion (60J65) Convergence of probability measures (60B10)

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