Sign Up to like & get
recommendations!
0
Published in 2020 at "Arabian Journal of Mathematics"
DOI: 10.1007/s40065-020-00287-w
Abstract: The exponential timestepping Euler algorithm with a boundary test is adapted to simulate an expected of a function of exit time, such as the expected payoff of barrier options under the constant elasticity of variance…
read more here.
Keywords:
finance;
exit time;
control variate;
exponential timestepping ... See more keywords