A Numerical Scheme for Expectations with First Hitting Time to Smooth Boundary

Autor:	Toshiki Okumura, Yuji Hishida, Yuta Ishigaki
Rok vydání:	2019
Předmět:	050208 finance Computer science Scheme (mathematics) 0502 economics and business 05 social sciences Monte Carlo method Hitting time Symmetrization Boundary (topology) Applied mathematics Reflection principle 050207 economics Finance
Zdroj:	Asia-Pacific Financial Markets. 26:553-565
ISSN:	1573-6946 1387-2834
DOI:	10.1007/s10690-019-09278-0
Popis:	In the present paper, we propose a numerical scheme to calculate expectations with first hitting time to a given smooth boundary, in view of the application to the pricing of options with non-linear barriers. To attack the problem, we rely on the symmetrization technique in Akahori and Imamura (Quant Finance 14(7):1211–1216, 2014) and Imamura et al. (Monte Carlo Methods Appl 20(4):223–235, 2014), with some modifications. To see the effectiveness, we perform some numerical experiments.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::dda7925df151ce97e8c10e6a38e73c65 https://doi.org/10.1007/s10690-019-09278-0 Zobrazit plný text záznamu Full text from SpringerLink