Efficient exponential timestepping algorithm using control variate technique for simulating a functional of exit time of one-dimensional Brownian diffusion with applications in finance
Sign Up to like & getrecommendations! 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