On a Symmetrization of Diffusion Processes
AbstractThe 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.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1206.5983.
Date of creation: Jun 2012
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-07-08 (All new papers)
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- Yuri Imamura & Yuta Ishigaki & Takuya Kawagoe & Toshiki Okumura, 2012. "A Numerical Scheme Based on Semi-Static Hedging Strategy," Papers 1206.2934, arXiv.org, revised Aug 2012.
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