Schéma d'Euler continu pour des diffusions tuées et options barrière

DOI10.1016/S0764-4442(98)80402-3zbMath0917.60072OpenAlexW1980283948MaRDI QIDQ4217476

Emmanuel Gobet

Publication date: 12 July 1999

Published in: Comptes Rendus de l'Académie des Sciences - Series I - Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0764-4442(98)80402-3

zbMATH Keywords

diffusion processbarrier optioncontinuous Euler scheme

Mathematics Subject Classification ID

Diffusion processes (60J60) Diffusion processes and stochastic analysis on manifolds (58J65)

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