A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: applications in finance (Q1620012): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: applications in finance |
scientific article |
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A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: applications in finance (English)
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13 November 2018
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time-changed Brownian motion
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first-passage probability
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default risk
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option pricing
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system of integral equations
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numerical quadrature
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