most citedA New Algorithm to Simulate the First Exit Times of a Vector of Brownian Motions, with an Application to Finance

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math.PR2016★ 1 cited

A New Algorithm to Simulate the First Exit Times of a Vector of Brownian Motions, with an Application to Finance

Chiu-Yen Kao, Qidi Peng, Henry Schellhorn +1

We provide a new methodology to simulate the first exit times of a vector of Brownian motions from an orthant. This new approach can be used to simulate the first exit times of dim…