On a symmetrization of diffusion processes

DOI10.1080/14697688.2013.825923zbMath1402.91885arXiv1206.5983OpenAlexW2035527669MaRDI QIDQ5245460

Yuri Imamura, Jirô Akahori

Publication date: 8 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1206.5983

zbMATH Keywords

numerical schemereflection groupsstochastic volatility modelsbarrier optionsmulti-boundarystatic hedge

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Boundary element methods for initial value and initial-boundary value problems involving PDEs (65M38)

Related Items (13)

An analytical approximation for single barrier options under stochastic volatility models ⋮ Strong convergence for the Euler-Maruyama approximation of stochastic differential equations with discontinuous coefficients ⋮ On the convergence order of a binary tree approximation of symmetrized diffusion processes ⋮ On the Euler-Maruyama scheme for SDEs with bounded variation and Hölder continuous coefficients ⋮ A numerical scheme for expectations with first hitting time to smooth boundary ⋮ Integration by parts formula for killed processes: a point of view from approximation theory ⋮ Carr-Nadtochiy's weak reflection principle for Markov chains on \(\mathbb{Z}^d\) ⋮ Hyperbolic symmetrization of Heston type diffusion ⋮ Analytical pricing of single barrier options under local volatility models ⋮ Symmetrization associated with hyperbolic reflection principle ⋮ AN APPROXIMATION METHOD FOR PRICING CONTINUOUS BARRIER OPTIONS UNDER MULTI-ASSET LOCAL STOCHASTIC VOLATILITY MODELS ⋮ On the strong convergence rate for the Euler-Maruyama scheme of one-dimensional SDEs with irregular diffusion coefficient and local time ⋮ Stability Problem for One-Dimensional Stochastic Differential Equations with Discontinuous Drift

Cites Work

• The Euler scheme with irregular coefficients
• Weak approximation of killed diffusion using Euler schemes.
• Semi-static hedging based on a generalized reflection principle on a multi dimensional Brownian motion
• PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS

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