A numerical scheme for expectations with first hitting time to smooth boundary (Q2011048)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: A numerical scheme for expectations with first hitting time to smooth boundary |
scientific article; zbMATH DE number 7138150
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A numerical scheme for expectations with first hitting time to smooth boundary |
scientific article; zbMATH DE number 7138150 |
Statements
A numerical scheme for expectations with first hitting time to smooth boundary (English)
0 references
28 November 2019
0 references
barrier option price
0 references
first hitting time
0 references
nonlinear smooth boundary
0 references
reflection principle
0 references
symmetrization of multi-dimensional diffusion
0 references
