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Adaptive Monte Carlo Algorithms for Stopped Diffusion · Study

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ChapterAdaptive Monte Carlo Algorithms for Stopped Diffusion

Anna Dzougoutov2005

Chapter2005

Adaptive Monte Carlo Algorithms for Stopped Diffusion

Anna Dzougoutov · Kyoung-Sook Moon · Erik von Schwerin · Anders Szepessy · Raul F. Tempone

23 citations·0/0 files stored·Lecture notes in computational science and engineering

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Stochastic processes and financial applications Numerical methods for differential equations Mathematical Approximation and Integration

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References

2007Brownian Motion and Stochastic Calculus 2016Numerical solution of stochastic differential equations 1996The law of the Euler scheme for stochastic differential equations 2000Weak approximation of killed diffusion using Euler schemes 2001Euler schemes and half-space approximation for the simulation of diffusion in a domain 2001Adaptive weak approximation of stochastic differential equations 1999Pricing General Barrier Options: A Numerical Approach Using Sharp Large Deviations 1999Absorbing boundaries and optimal stopping in a stochastic differential equation

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2008EFFICIENT MONTE CARLO ALGORITHM FOR PRICING BARRIER OPTIONS 2017An analytical approximation for single barrier options under stochastic volatility models 2008Adaptive lattice methods for multi-asset models

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Year2005

Typechapter

Published2005-01-01

VenueLecture notes in computational science and engineering

ISSN-L1439-7358

Languageen

Citations23

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/3-540-26444-2_3

openalex_workW113227339

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