Efficient exponential timestepping algorithm using control variate technique for simulating a functional of exit time of one-dimensional Brownian diffusion with applications in finance
Crossref DOI link: https://doi.org/10.1007/s40065-020-00287-w
Published Online: 2020-07-13
Published Print: 2020-12
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Alzubaidi, Hasan http://orcid.org/0000-0002-6656-586X
Text and Data Mining valid from 2020-07-13
Version of Record valid from 2020-07-13
Article History
Received: 26 August 2019
Accepted: 28 June 2020
First Online: 13 July 2020
Compliance with ethical standards
:
: The author declares that he has no conflict of interest.