A numerical scheme for expectations with first hitting time to smooth boundary
type: Item
instance of: scholarly article
title: A numerical scheme for expectations with first hitting time to smooth boundary
zbMATH Open document ID: 1425.91428
author: Yuji Hishida
author: Yuta Ishigaki
author: Toshiki Okumura
published in: Asia-Pacific Financial Markets
publication date: 2019-11-28T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M99
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 7138150
zbMATH Keywords: barrier option price
zbMATH Keywords: first hitting time
zbMATH Keywords: nonlinear smooth boundary
zbMATH Keywords: reflection principle
zbMATH Keywords: symmetrization of multi-dimensional diffusion
MaRDI profile type: Publication
full work available at URL: s10690-019-09278-0
OpenAlex ID: W2953880773
cites work: On a symmetrization of diffusion processes
cites work: Weak approximation of killed diffusion using Euler schemes.
cites work: Hyperbolic symmetrization of Heston type diffusion
cites work: Symmetrization associated with hyperbolic reflection principle
cites work: A numerical scheme based on semi-static hedging strategy
cites work: Q4226355
Wikidata QID: Q127676900
DOI: 10.1007/S10690-019-09278-0
description: scientific article; zbMATH DE number 7138150