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Weak approximation of killed diffusion using Euler schemes

Citations

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Cited by:

  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. Frikha Noufel & Sagna Abass, 2012. "Quantization based recursive importance sampling," Monte Carlo Methods and Applications, De Gruyter, vol. 18(4), pages 287-326, December.
  10. Madalina Deaconu & Samuel Herrmann, 2023. "Strong Approximation of Bessel Processes," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-24, March.
  11. 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.
  12. 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.
  13. Hausenblas Erika, 2000. "Momte Carlo Simulation of killed diffusion," Monte Carlo Methods and Applications, De Gruyter, vol. 6(4), pages 263-296, December.
  14. Giorgia Callegaro & Abass Sagna, 2009. "An application to credit risk of a hybrid Monte Carlo-Optimal quantization method," Papers 0907.0645, arXiv.org.
  15. 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.
  16. 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.
  17. 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.
  18. Huyen Pham, 2007. "Some applications and methods of large deviations in finance and insurance," Papers math/0702473, arXiv.org, revised Feb 2007.
  19. 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.
  20. 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.
  21. 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.
  22. 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.
  23. Giorgia Callegaro & Abass Sagna, 2013. "An application to credit risk of a hybrid Monte Carlo-Optimal quantization method," Post-Print hal-00400666, HAL.
  24. Carbone, Raffaella, 2004. "Binomial approximation of Brownian motion and its maximum," Statistics & Probability Letters, Elsevier, vol. 69(3), pages 271-285, September.
  25. Casella, Bruno & Roberts, Gareth O., 2011. "Exact Simulation of Jump-Diffusion Processes with Monte Carlo Applications," MPRA Paper 95217, University Library of Munich, Germany.
  26. Aleksandar Mijatovic & Martijn Pistorius & Johannes Stolte, 2014. "Randomisation and recursion methods for mixed-exponential Levy models, with financial applications," Papers 1410.7316, arXiv.org.
  27. Hoel Håkon & Tempone Raúl & von Schwerin Erik & Szepessy Anders, 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.
  28. 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.
  29. 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.
  30. 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, November.
  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. 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.
  33. 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.
  34. 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.
  35. 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.
  36. 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.
  37. 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.
  38. repec:hal:wpaper:hal-00400666 is not listed on IDEAS
  39. 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.
  40. 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.
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