IDEAS home Printed from
   My bibliography  Save this paper

On a Symmetrization of Diffusion Processes


  • Jiro Akahori
  • Yuri Imamura


The 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.

Suggested Citation

  • Jiro Akahori & Yuri Imamura, 2012. "On a Symmetrization of Diffusion Processes," Papers 1206.5983,
  • Handle: RePEc:arx:papers:1206.5983

    Download full text from publisher

    File URL:
    File Function: Latest version
    Download Restriction: no

    Other versions of this item:


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    Cited by:

    1. Yuri Imamura & Yuta Ishigaki & Takuya Kawagoe & Toshiki Okumura, 2012. "A Numerical Scheme Based on Semi-Static Hedging Strategy," Papers 1206.2934,, revised Aug 2012.
    2. Jiro Akahori & Flavia Barsotti & Yuri Imamura, 2018. "Asymptotic Static Hedge via Symmetrization," Papers 1801.04045,
    3. Ngo, Hoang-Long & Taguchi, Dai, 2017. "Strong convergence for the Euler–Maruyama approximation of stochastic differential equations with discontinuous coefficients," Statistics & Probability Letters, Elsevier, vol. 125(C), pages 55-63.
    4. Jiro Akahori & Flavia Barsotti & Yuri Imamura, 2017. "The Value of Timing Risk," Papers 1701.05695,

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1206.5983. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.