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On a Symmetrization of Diffusion Processes

Jiro Akahori () and Yuri Imamura

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Abstract: The latter author, together with collaborators, proposed a numerical scheme to calculate the price of barrier options. The scheme is based on a symmetrization of diffusion process. The present paper aims to give a mathematical credit to the use of the numerical scheme for Heston or SABR type stochastic volatility models. This will be done by showing a fairly general result on the symmetrization (in multi-dimension/multi-reflections). Further applications (to time-inhomogeneous diffusions/ to time dependent boundaries/to curved boundaries) are also discussed.

Date: 2012-06
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Journal Article: On a symmetrization of diffusion processes (2014) Downloads
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