On a Symmetrization of Diffusion Processes
Computational Finance
2012-06-27 v1 Probability
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.
Cite
@article{arxiv.1206.5983,
title = {On a Symmetrization of Diffusion Processes},
author = {Jiro Akahori and Yuri Imamura},
journal= {arXiv preprint arXiv:1206.5983},
year = {2012}
}