Numerical evaluation of dynamic behavior of Ornstein-Uhlenbeck processes modified by various boundaries and its application to pricing barrier options

DOI10.1007/S11009-009-9152-4MaRDI QIDQ631490zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

absorbing boundariesmodified Ornstein-Uhlenbeck (O-U) processprices of barrier optionsreflection boundariesreplacement boundariesuniformization procedure

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
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• Diffusion-type models with given marginal distribution and autocorrelation function
• Distributions in the Ehrenfest process
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• Limit theorems for random walks, birth and death processes, and diffusion processes
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• Martingale methods in financial modelling.
• NUMERICAL EXPLORATION OF DYNAMIC BEHAVIOR OF ORNSTEIN-UHLENBECK PROCESSES VIA EHRENFEST PROCESS APPROXIMATION(<Special Issue>Advanced Planning and Scheduling for Supply Chain Management)
• Optimal methods for specifying information in the solution of integral equations with analytic kernels
• PRICING A CLASS OF EXOTIC OPTIONS VIA MOMENTS AND SDP RELAXATIONS
• Pricing derivatives with barriers in a stochastic interest rate environment

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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