Speeding up the Euler scheme for killed diffusions

Umut Çetin () and Julien Hok ()
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Umut Çetin: London School of Economics and Political Science
Julien Hok: Investec Bank

Finance and Stochastics, 2024, vol. 28, issue 3, No 2, 663-707

Abstract: Abstract Let X $X$ be a linear diffusion taking values in ( ℓ , r ) $(\ell ,r)$ and consider the standard Euler scheme to compute an approximation to E [ g ( X T ) 1 { T

Keywords: Diffusions with killing; Euler–Maruyama scheme; Drift-implicit scheme; Weak convergence; Recurrent transformations; Strict local martingales; Kato classes; Barrier options; 60J60; 60H35; 91G80 (search for similar items in EconPapers)
JEL-codes: C63 G13 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s00780-024-00534-4

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