Efficient exponential timestepping algorithm using control variate technique for simulating a functional of exit time of one-dimensional Brownian diffusion with applications in finance
Abstract The exponential timestepping Euler algorithm with a boundary test is adapted to simulate an expected of a function of exit time, such as the expected payoff of barrier options under the constant elasticity of variance (CEV) model. However, this method suffers from a high Monte Carlo (MC) st...
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| Format: | Article |
| Language: | English |
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SpringerOpen
2020-07-01
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| Series: | Arabian Journal of Mathematics |
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| Online Access: | https://doi.org/10.1007/s40065-020-00287-w |