A note on first-passage times of continuously time-changed Brownian motion (Q654495): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
ReferenceBot (talk | contribs)
Changed an Item
 
(3 intermediate revisions by 3 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.spl.2011.09.018 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2062938055 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4223075 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3883242 / rank
 
Normal rank
Property / cites work
 
Property / cites work: The First Passage Problem for a Continuous Markov Process / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity / rank
 
Normal rank
Property / cites work
 
Property / cites work: First passage time distribution of a Wiener process with drift concerning two elastic barriers / rank
 
Normal rank
Property / cites work
 
Property / cites work: Transform Analysis and Asset Pricing for Affine Jump-diffusions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Two singular diffusion problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH / rank
 
Normal rank
Property / cites work
 
Property / cites work: Time Changes for Lévy Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: CREDIT RISK MODELING USING TIME-CHANGED BROWNIAN MOTION / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing Options With Curved Boundaries<sup>1</sup> / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2763689 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4772680 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing double barrier options using Laplace transforms / rank
 
Normal rank
Property / cites work
 
Property / cites work: Evaluating first-passage probabilities for spectrally one-sided Lévy processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4003084 / rank
 
Normal rank
Property / cites work
 
Property / cites work: ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 19:44, 4 July 2024

scientific article
Language Label Description Also known as
English
A note on first-passage times of continuously time-changed Brownian motion
scientific article

    Statements

    A note on first-passage times of continuously time-changed Brownian motion (English)
    0 references
    0 references
    0 references
    28 December 2011
    0 references
    0 references
    double-barrier problem
    0 references
    first-exit time
    0 references
    first-passage time
    0 references
    time-changed Brownian motion
    0 references
    barrier option
    0 references
    0 references