Symmetrization associated with hyperbolic reflection principle

Symmetrization associated with hyperbolic reflection principle

Abstract In this paper, in view of application to pricing of Barrier options under a stochastic volatility model, we study a reflection principle for the hyperbolic Brownian motion, and introduce a hyperbolic version of Imamura-Ishigaki-Okumura’s symmetrization. Some results of numerical experiments...

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Bibliographic Details
Main Authors: Yuuki Ida, Tsuyoshi Kinoshita, Tomohiro Matsumoto
Format: Article
Language:English
Published: SpringerOpen 2018-01-01
Series:Pacific Journal of Mathematics for Industry
Subjects:
Hyperbolic Brownian motion
Reflection principle
Symmetrization
Barrier option
Euler-Maruyama scheme
Online Access:http://link.springer.com/article/10.1186/s40736-017-0035-2

Internet

http://link.springer.com/article/10.1186/s40736-017-0035-2

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