Numerical evaluation of dynamic behavior of Ornstein-Uhlenbeck processes modified by various boundaries and its application to pricing barrier options

DOI10.1007/s11009-009-9152-4zbMath1211.60034OpenAlexW2027124463MaRDI QIDQ631490

Hui Jin, Ushio Sumita, Jun-Ya Gotoh

Publication date: 14 March 2011

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-009-9152-4

zbMATH Keywords

absorbing boundariesmodified Ornstein-Uhlenbeck (O-U) processprices of barrier optionsreflection boundariesreplacement boundariesuniformization procedure

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Microeconomic theory (price theory and economic markets) (91B24)

Related Items (2)

Development of computational algorithms for pricing European bond options under the influence of macro-economic conditions ⋮ Development of computational algorithms for evaluating option prices associated with square-root volatility processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Martingale methods in financial modelling.
• Pricing derivatives with barriers in a stochastic interest rate environment
• Markov chain models - rarity and exponentiality
• Diffusion-type models with given marginal distribution and autocorrelation function
• Distributions in the Ehrenfest process
• Limit theorems for random walks, birth and death processes, and diffusion processes
• A computational approach to first-passage-time problems for Gauss–Markov processes
• Optimal methods for specifying information in the solution of integral equations with analytic kernels
• Evaluations of barrier-crossing probabilities of Wiener paths
• An equilibrium characterization of the term structure
• NUMERICAL EXPLORATION OF DYNAMIC BEHAVIOR OF ORNSTEIN-UHLENBECK PROCESSES VIA EHRENFEST PROCESS APPROXIMATION(<Special Issue>Advanced Planning and Scheduling for Supply Chain Management)
• PRICING A CLASS OF EXOTIC OPTIONS VIA MOMENTS AND SDP RELAXATIONS
• Limiting diffusion approximations for the many server queue and the repairman problem

This page was built for publication: Numerical evaluation of dynamic behavior of Ornstein-Uhlenbeck processes modified by various boundaries and its application to pricing barrier options