Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation

DOI10.1016/j.ejor.2022.07.038OpenAlexW3196105360WikidataQ113875410 ScholiaQ113875410MaRDI QIDQ2103028

Christian Meier, Gongqiu Zhang, Lingfei Li

Publication date: 12 December 2022

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2107.04260

zbMATH Keywords

Monte Carlo simulationapplied probabilityMarkov chain approximationmultidimensional diffusionssticky boundary

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Related Items (2)

A general approach for lookback option pricing under Markov models ⋮ A general method for analysis and valuation of drawdown risk

Uses Software

• pymle

Cites Work

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