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Weak approximation of killed diffusion using Euler schemes

Citations

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Cited by:

  1. Hideharu Funahashi & Tomohide Higuchi, 2018. "An analytical approximation for single barrier options under stochastic volatility models," Annals of Operations Research, Springer, vol. 266(1), pages 129-157, July.
  2. Hausenblas Erika, 2000. "Momte Carlo Simulation of killed diffusion," Monte Carlo Methods and Applications, De Gruyter, vol. 6(4), pages 263-296, December.
  3. Huyen Pham, 2007. "Some applications and methods of large deviations in finance and insurance," Papers math/0702473, arXiv.org, revised Feb 2007.
  4. repec:hal:wpaper:hal-00400666 is not listed on IDEAS
  5. Aleksandar Mijatovic & Martijn Pistorius & Johannes Stolte, 2014. "Randomisation and recursion methods for mixed-exponential Levy models, with financial applications," Papers 1410.7316, arXiv.org.
  6. Giorgia Callegaro & Abass Sagna, 2013. "An application to credit risk of a hybrid Monte Carlo-Optimal quantization method," Post-Print hal-00400666, HAL.
  7. R'uben Sousa & Ana Bela Cruzeiro & Manuel Guerra, 2016. "Barrier Option Pricing under the 2-Hypergeometric Stochastic Volatility Model," Papers 1610.03230, arXiv.org, revised Aug 2017.
  8. Casella, Bruno & Roberts, Gareth O., 2011. "Exact Simulation of Jump-Diffusion Processes with Monte Carlo Applications," MPRA Paper 95217, University Library of Munich, Germany.
  9. Imamura Yuri & Ishigaki Yuta & Okumura Toshiki, 2014. "A numerical scheme based on semi-static hedging strategy," Monte Carlo Methods and Applications, De Gruyter, vol. 20(4), pages 223-235, December.
  10. Pagès Gilles, 2007. "Multi-step Richardson-Romberg Extrapolation: Remarks on Variance Control and Complexity," Monte Carlo Methods and Applications, De Gruyter, vol. 13(1), pages 37-70, April.
  11. Matoussi Anis & Sabbagh Wissal, 2016. "Numerical computation for backward doubly SDEs with random terminal time," Monte Carlo Methods and Applications, De Gruyter, vol. 22(3), pages 229-258, September.
  12. Caramellino Lucia & Pacchiarotti Barbara, 2002. "Sharp estimates for the hitting probability on time-dependent barriers for a Brownian Motion. Weak approximation of a Brownian motion killed on time-dependent barriers," Monte Carlo Methods and Applications, De Gruyter, vol. 8(3), pages 221-236, December.
  13. Sagna, Abass, 2011. "Pricing of barrier options by marginal functional quantization," Monte Carlo Methods and Applications, De Gruyter, vol. 17(4), pages 371-398, December.
  14. Rey, Clément, 2019. "Approximation of Markov semigroups in total variation distance under an irregular setting: An application to the CIR process," Stochastic Processes and their Applications, Elsevier, vol. 129(2), pages 539-571.
  15. Akahori, Jirô & Fan, Jie Yen & Imamura, Yuri, 2023. "On the convergence order of a binary tree approximation of symmetrized diffusion processes," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 211(C), pages 263-277.
  16. Maire Sylvain & Tanré Etienne, 2013. "Monte Carlo approximations of the Neumann problem," Monte Carlo Methods and Applications, De Gruyter, vol. 19(3), pages 201-236, October.
  17. Aurélien Alfonsi & Benjamin Jourdain & Arturo Kohatsu-Higa, 2014. "Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme," Post-Print hal-00727430, HAL.
  18. Bayer Christian & Szepessy Anders & Tempone Raúl, 2010. "Adaptive weak approximation of reflected and stopped diffusions," Monte Carlo Methods and Applications, De Gruyter, vol. 16(1), pages 1-67, January.
  19. Bruno Casella & Gareth O. Roberts, 2011. "Exact Simulation of Jump-Diffusion Processes with Monte Carlo Applications," Methodology and Computing in Applied Probability, Springer, vol. 13(3), pages 449-473, September.
  20. Lucia Caramellino & Barbara Pacchiarotti & Simone Salvadei, 2015. "Large Deviation Approaches for the Numerical Computation of the Hitting Probability for Gaussian Processes," Methodology and Computing in Applied Probability, Springer, vol. 17(2), pages 383-401, June.
  21. Hideharu Funahashi & Masaaki Kijima, 2016. "Analytical pricing of single barrier options under local volatility models," Quantitative Finance, Taylor & Francis Journals, vol. 16(6), pages 867-886, June.
  22. Umut Çetin & Julien Hok, 2024. "Speeding up the Euler scheme for killed diffusions," Finance and Stochastics, Springer, vol. 28(3), pages 663-707, July.
  23. Diana Dorobantu & Yahia Salhi & Pierre-E. Thérond, 2020. "Modelling Net Carrying Amount of Shares for Market Consistent Valuation of Life Insurance Liabilities," Methodology and Computing in Applied Probability, Springer, vol. 22(2), pages 711-745, June.
  24. Giorgia Callegaro & Abass Sagna, 2009. "An application to credit risk of a hybrid Monte Carlo-Optimal quantization method," Papers 0907.0645, arXiv.org.
  25. Rey Clément, 2017. "Convergence in total variation distance of a third order scheme for one-dimensional diffusion processes," Monte Carlo Methods and Applications, De Gruyter, vol. 23(1), pages 1-12, March.
  26. Lejay, Antoine & Maire, Sylvain, 2007. "Computing the principal eigenvalue of the Laplace operator by a stochastic method," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 73(6), pages 351-363.
  27. Frikha Noufel & Sagna Abass, 2012. "Quantization based recursive importance sampling," Monte Carlo Methods and Applications, De Gruyter, vol. 18(4), pages 287-326, December.
  28. Elisabetta Carlini & Adriano Festa & Francisco J. Silva & Marie-Therese Wolfram, 2017. "A Semi-Lagrangian Scheme for a Modified Version of the Hughes’ Model for Pedestrian Flow," Dynamic Games and Applications, Springer, vol. 7(4), pages 683-705, December.
  29. Cetin, Umut & Hok, Julien, 2024. "Speeding up the Euler scheme for killed diffusions," LSE Research Online Documents on Economics 120789, London School of Economics and Political Science, LSE Library.
  30. Herrmann, Samuel & Massin, Nicolas, 2023. "Exact simulation of the first passage time through a given level of jump diffusions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 203(C), pages 553-576.
  31. Baldi, Paolo & Caramellino, Lucia & Rossi, Maurizia, 2020. "Large deviations of conditioned diffusions and applications," Stochastic Processes and their Applications, Elsevier, vol. 130(3), pages 1289-1308.
  32. Hoel Håkon & von Schwerin Erik & Szepessy Anders & Tempone Raúl, 2014. "Implementation and analysis of an adaptive multilevel Monte Carlo algorithm," Monte Carlo Methods and Applications, De Gruyter, vol. 20(1), pages 1-41, March.
  33. Gobet, Emmanuel & Menozzi, Stéphane, 2010. "Stopped diffusion processes: Boundary corrections and overshoot," Stochastic Processes and their Applications, Elsevier, vol. 120(2), pages 130-162, February.
  34. Yuji Hishida & Yuta Ishigaki & Toshiki Okumura, 2019. "A Numerical Scheme for Expectations with First Hitting Time to Smooth Boundary," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(4), pages 553-565, December.
  35. Cetin, Umut, 2018. "Diffusion transformations, Black-Scholes equation and optimal stopping," LSE Research Online Documents on Economics 87261, London School of Economics and Political Science, LSE Library.
  36. Meier, Christian & Li, Lingfei & Zhang, Gongqiu, 2023. "Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation," European Journal of Operational Research, Elsevier, vol. 305(3), pages 1292-1308.
  37. Jie Chen & Liaoyuan Fan & Lingfei Li & Gongqiu Zhang, 2022. "A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation," Review of Derivatives Research, Springer, vol. 25(2), pages 189-232, July.
  38. Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), 2008. "Handbook on Information Technology in Finance," International Handbooks on Information Systems, Springer, number 978-3-540-49487-4, September.
  39. Madalina Deaconu & Samuel Herrmann, 2023. "Strong Approximation of Bessel Processes," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-24, March.
  40. Carbone, Raffaella, 2004. "Binomial approximation of Brownian motion and its maximum," Statistics & Probability Letters, Elsevier, vol. 69(3), pages 271-285, September.
  41. Diana Dorobantu & Yahia Salhi & Pierre-Emmanuel Thérond, 2018. "Modelling net carrying amount of shares for market consistent valuation of life insurance liabilities," Working Papers hal-01840057, HAL.
  42. Maire Sylvain & Tanré Etienne, 2008. "Some new simulations schemes for the evaluation of Feynman–Kac representations," Monte Carlo Methods and Applications, De Gruyter, vol. 14(1), pages 29-51, January.
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