Speeding up the Euler scheme for killed diffusions

DOI10.1007/s00780-024-00534-4zbMath1542.9139MaRDI QIDQ6565558

Julien Hok, Umut Çetin

Publication date: 2 July 2024

Published in: Finance and Stochastics (Search for Journal in Brave)

zbMATH Keywords

weak convergenceEuler-Maruyama schemeKato classesbarrier optionsstrict local martingalesdiffusions with killingdrift-implicit schemerecurrent transformations

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

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