Numerical evaluation of dynamic behavior of Ornstein-Uhlenbeck processes modified by various boundaries and its application to pricing barrier options
DOI10.1007/S11009-009-9152-4zbMATH Open1211.60034OpenAlexW2027124463MaRDI QIDQ631490FDOQ631490
Authors: Hui Jin, Ushio Sumita, Jun-Ya Gotoh 
Publication date: 14 March 2011
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-009-9152-4
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Cited In (3)
- Development of computational algorithms for pricing European bond options under the influence of macro-economic conditions
- Development of computational algorithms for evaluating option prices associated with square-root volatility processes
- Application of the spectral theory and perturbation theory to the study of Ornstein-Uhlenbeck processes
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