2 results for “Hitting Time”

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Research ArticleOpen accessIn the keywordsEfficient Monte Carlo Algorithm Using Antithetic Variate and Brownian Bridge Techniques for Pricing the Barrier Options with Rebate PaymentsHasan AlzubaidiThe down-and-out call barrier option with rebate payment on dividend-paying stock is simulated using a new version of the Monte Carlo algorithm. The standard Monte Carlo method for simulating such an option suffers from two sources of errors: Hitting time error inherent from time stepping and the Monte Carlo statistical error. We present a modified version of Monte Carlo method … …Journal of Mathematics and Statistics, Vol. 12, Issue 1 · 22 Feb 2016 · 8,259 accessesView PDF Cite

Research ArticleOpen accessIn the keywordsA Theorem of Hunt for Semidynamical SystemsMounir Bezzarga, Gheorghe BucurThe main result of this paper provides a direct proof of a Hunt's Theorem of the classical potential theory for the so called local semidynamical systems in non locally compact infinite dimensional spaces. …Journal of Mathematics and Statistics, Vol. 1, Issue 1 · 31 Mar 2005 · 6,692 accessesView PDF Cite