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arXiv · 1206.5983

On a Symmetrization of Diffusion Processes

Jiro Akahori·Yuri Imamura
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Abstract

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.

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BibTeXRIS

Jiro Akahori, Yuri Imamura. 2012-06-26. On a Symmetrization of Diffusion Processes. https://arxiv.org/abs/1206.5983

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