Speeding up the Euler scheme for killed diffusions
Umut Çetin, Julien Hok
| Year of publication: |
2024
|
|---|---|
| Authors: | Çetin, Umut ; Hok, Julien |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 28.2024, 3, p. 663-707
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| Subject: | Barrier options | Diffusions with killing | Drift-implicit scheme | Euler-Maruyama scheme | Kato classes | Recurrent transformations | Strict local martingales | Weak convergence | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading | Innovationsdiffusion | Innovation diffusion | Martingal | Martingale | Monte-Carlo-Simulation | Monte Carlo simulation |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-024-00534-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015130359