Simulation of Brownian motion at first-passage times
نویسندگان
چکیده
We show how to simulate Brownian motion not on a regular time grid, but on a regular spatial grid. That is, when it first hits points in δZ for some δ > 0. Central to our method is an algorithm for the perfect simulation of τ , the first time Brownian motion hits ±1. This work is motivated by boundary hitting problems for time-changed Brownian motion, such as appear in mathematical finance when pricing barrier-options.
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ورودعنوان ژورنال:
- Mathematics and Computers in Simulation
دوره 77 شماره
صفحات -
تاریخ انتشار 2008