On a Symmetrization of Diffusion Processes
Jiro Akahori () and
Papers from arXiv.org
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.
References: View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed
Downloads: (external link)
http://arxiv.org/pdf/1206.5983 Latest version (application/pdf)
Journal Article: On a symmetrization of diffusion processes (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1206.5983
Access Statistics for this paper
More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().