{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2024,5,29]],"date-time":"2024-05-29T13:17:24Z","timestamp":1716988644396},"reference-count":0,"publisher":"Walter de Gruyter GmbH","issue":"4","funder":[{"name":"JSPS KAKENHI","award":["24840042"],"award-info":[{"award-number":["24840042"]}]},{"name":"JSPS KAKENHI","award":["25285102"],"award-info":[{"award-number":["25285102"]}]},{"name":"JSPS KAKENHI","award":["26780193"],"award-info":[{"award-number":["26780193"]}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2014,12,1]]},"abstract":"<jats:title>Abstract<\/jats:title>\n               <jats:p>In the present paper, we introduce a\nnumerical scheme for the price of\na barrier option when the price of\nthe underlying follows a diffusion process.\nThe numerical scheme is based\non an extension of a static hedging formula\nof barrier options. To get the static hedging formula,\nthe underlying process needs to have a symmetry.\nWe introduce a way to\n\u201csymmetrize\u201d a given diffusion process.\nThen the pricing of a barrier option is reduced to that\nof plain options under the symmetrized process.\nTo show how our symmetrization scheme works,\nwe will present\nsome numerical results\nof path-independent\nEuler\u2013Maruyama approximation\napplied to our\nscheme, comparing them with the path-dependent Euler\u2013Maruyama scheme when the model is of the type Black\u2013Scholes,\nCEV, Heston, and (\u03bb)-SABR, respectively.\nThe results show the effectiveness of our scheme.<\/jats:p>","DOI":"10.1515\/mcma-2014-0002","type":"journal-article","created":{"date-parts":[[2014,9,16]],"date-time":"2014-09-16T17:04:34Z","timestamp":1410887074000},"page":"223-235","source":"Crossref","is-referenced-by-count":7,"title":["A numerical scheme based on semi-static hedging strategy"],"prefix":"10.1515","volume":"20","author":[{"given":"Yuri","family":"Imamura","sequence":"first","affiliation":[{"name":"Department of Mathematical Sciences, Ritsumeikan University, 1-1-1, Nojihigashi, Kusatsu, Shiga, 525-8577, Japan"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Yuta","family":"Ishigaki","sequence":"additional","affiliation":[{"name":"COSMEDIA. CO., LTD, Iwamotocho Toyo Building, 3-1-2, Iwamotocho, Chiyodaku, Tokyo, 101-0032, Japan"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Toshiki","family":"Okumura","sequence":"additional","affiliation":[{"name":"Mizuho-DL Financial Technology Co., Ltd, Kojimachi-odori Building 12F, 2-4-1 Kojimachi, Chiyoda-ku, Tokyo 102-0083, Japan"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"374","published-online":{"date-parts":[[2014,9,16]]},"container-title":["Monte Carlo Methods and Applications"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.degruyter.com\/document\/doi\/10.1515\/mcma-2014-0002\/xml","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/www.degruyter.com\/document\/doi\/10.1515\/mcma-2014-0002\/pdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,4,1]],"date-time":"2023-04-01T22:35:49Z","timestamp":1680388549000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.degruyter.com\/document\/doi\/10.1515\/mcma-2014-0002\/html"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2014,9,16]]},"references-count":0,"journal-issue":{"issue":"4","published-online":{"date-parts":[[2014,9,13]]},"published-print":{"date-parts":[[2014,12,1]]}},"alternative-id":["10.1515\/mcma-2014-0002"],"URL":"https:\/\/doi.org\/10.1515\/mcma-2014-0002","relation":{},"ISSN":["0929-9629","1569-3961"],"issn-type":[{"value":"0929-9629","type":"print"},{"value":"1569-3961","type":"electronic"}],"subject":[],"published":{"date-parts":[[2014,9,16]]}}}