Efficient exponential timestepping algorithm using control variate technique for simulating a functional of exit time of one-dimensional Brownian diffusion with applications in finance
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Publication:2211897
DOI10.1007/s40065-020-00287-wzbMath1456.60172OpenAlexW3043067557WikidataQ115600761 ScholiaQ115600761MaRDI QIDQ2211897
Publication date: 17 November 2020
Published in: Arabian Journal of Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40065-020-00287-w
Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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