| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1140959 | Mathematics and Computers in Simulation | 2008 | 8 Pages |
Abstract
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>0δ>0. Central to our method is an algorithm for the exact simulation of ττ, the first time Brownian motion hits ±1±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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Authors
Zaeem A. Burq, Owen D. Jones,