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Adaptive Monte Carlo Algorithms for Stopped Diffusion
10 references·3 citing·36 second hop
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this work references cited by second hop

References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 2016Numerical solution of stochastic differential equations5,001 cited
  • 1996The law of the Euler scheme for stochastic differential equations375 cited
  • 2000Weak approximation of killed diffusion using Euler schemes188 cited
  • 2001Euler schemes and half-space approximation for the simulation of diffusion in a domain89 cited
  • 2001Adaptive weak approximation of stochastic differential equations80 cited
  • 1999Pricing General Barrier Options: A Numerical Approach Using Sharp Large Deviations69 cited
  • 1999Absorbing boundaries and optimal stopping in a stochastic differential equation58 cited
  • 2005Convergence Rates for Adaptive Weak Approximation of Stochastic Differential Equations39 cited
  • 2002Some conditional crossing results of Brownian motion over a piecewise-linear boundary38 cited

Cited by

  • 2008EFFICIENT MONTE CARLO ALGORITHM FOR PRICING BARRIER OPTIONS21 cited
  • 2017An analytical approximation for single barrier options under stochastic volatility models20 cited
  • 2008Adaptive lattice methods for multi-asset models18 cited

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