A Numerical Scheme for Expectations with First Hitting Time to Smooth Boundary

被引：0
|
作者：
Yuji Hishida
Yuta Ishigaki
Toshiki Okumura
机构：
[1] Mizuho Securities Asia Limited,
[2] COSMEDIA. CO.,undefined
[3] LTD,undefined
[4] The Dai-ichi Life Insurance Company,undefined
[5] Limited,undefined
来源：
Asia-Pacific Financial Markets | 2019年 / 26卷
关键词：
Barrier option price; First hitting time; Non-linear smooth boundary; Reflection principle; Symmetrization of multi-dimensional diffusion;
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学科分类号：
摘要：
In the present paper, we propose a numerical scheme to calculate expectations with first hitting time to a given smooth boundary, in view of the application to the pricing of options with non-linear barriers. To attack the problem, we rely on the symmetrization technique in Akahori and Imamura (Quant Finance 14(7):1211–1216, 2014) and Imamura et al. (Monte Carlo Methods Appl 20(4):223–235, 2014), with some modifications. To see the effectiveness, we perform some numerical experiments.
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页码：553 / 565
页数：12
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