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

Latest revision as of 08:39, 17 July 2024

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

Statements

instance of

scholarly article

0 references

title

A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: applications in finance (English)

0 references

author

Luca Vincenzo Ballestra

0 references

0 references

0 references

0 references

13 November 2018

0 references

zbMATH Keywords

time-changed Brownian motion

0 references

first-passage probability

0 references

default risk

0 references

option pricing

0 references

system of integral equations

0 references

numerical quadrature

0 references

MaRDI profile type

MaRDI publication profile

0 references

full work available at URL

https://doi.org/10.1016/j.physa.2016.07.016

0 references

cites work

Black-Scholes formula in subdiffusive regime

0 references

Stochastic representation of subdiffusion processes with time-dependent drift

0 references

The pricing of credit default swaps under a generalized mixed fractional Brownian motion

0 references

Pricing european option under the time-changed mixed Brownian-fractional Brownian model

0 references

Q5430704

0 references

Q4303980

0 references

Fast accurate binomial pricing

0 references

Galerkin Finite Element Methods for Parabolic Problems

0 references

On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options

0 references

A computational study of the one-dimensional parabolic equation subject to nonclassical boundary specifications

0 references

CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES

0 references

Efficient and high accuracy pricing of barrier options under the CEV diffusion

0 references

A fast high-order finite difference algorithm for pricing American options

0 references

Compact finite difference method for American option pricing

0 references

High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids

0 references

A comparison study of ADI and operator splitting methods on option pricing models

0 references

AN ACCURATE AND EFFICIENT NUMERICAL METHOD FOR BLACK-SCHOLES EQUATIONS

0 references

The Pricing of Options and Corporate Liabilities

0 references

Stochastic Calculus and Differential Equations for Physics and Finance

0 references

Asymptotic methods for the Fokker-Planck equation and the exit problem in applications

0 references

Q3750978

0 references

Q3841797

0 references

The spectral methods for parabolic Volterra integro-differential equations

0 references

A survey of recent advances in the numerical treatment of Volterra integral and integro-differential equations

0 references

Product integration methods for solving a system of nonlinear Volterra integral equations

0 references

The Numerical Solution of an Abel Integral Equation by a Product Trapezoidal Method

0 references

The numerical solution of weakly singular integral equations based on the meshless product integration (MPI) method with error analysis

0 references

Product Integration for the Generalized Abel Equation

0 references

Q4271954

0 references

Q3410604

0 references

Pricing Options in Jump-Diffusion Models: An Extrapolation Approach

0 references

Q3331506

0 references

Q2929611

0 references

Identifiers

zbMATH Open document ID

1400.60104

0 references

DOI

10.1016/j.physa.2016.07.016

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:1620012

@@ Property / cites work @@
+Black-Scholes formula in subdiffusive regime
@@ Property / cites work: Black-Scholes formula in subdiffusive regime / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic representation of subdiffusion processes with time-dependent drift
+Normal rank
@@ Property / cites work @@
+The pricing of credit default swaps under a generalized mixed fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Pricing european option under the time-changed mixed Brownian-fractional Brownian model
+Normal rank
@@ Property / cites work @@
+Q5430704
@@ Property / cites work: Q5430704 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4303980
@@ Property / cites work: Q4303980 / rank @@
+Normal rank
@@ Property / cites work @@
+Fast accurate binomial pricing
@@ Property / cites work: Fast accurate binomial pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Galerkin Finite Element Methods for Parabolic Problems
+Normal rank
@@ Property / cites work @@
+On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options
+Normal rank
@@ Property / cites work @@
+A computational study of the one-dimensional parabolic equation subject to nonclassical boundary specifications
+Normal rank
@@ Property / cites work @@
+CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES
+Normal rank
@@ Property / cites work @@
+Efficient and high accuracy pricing of barrier options under the CEV diffusion
+Normal rank
@@ Property / cites work @@
+A fast high-order finite difference algorithm for pricing American options
+Normal rank
@@ Property / cites work @@
+Compact finite difference method for American option pricing
+Normal rank
@@ Property / cites work @@
+High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids
+Normal rank
@@ Property / cites work @@
+A comparison study of ADI and operator splitting methods on option pricing models
+Normal rank
@@ Property / cites work @@
+AN ACCURATE AND EFFICIENT NUMERICAL METHOD FOR BLACK-SCHOLES EQUATIONS
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Calculus and Differential Equations for Physics and Finance
+Normal rank
@@ Property / cites work @@
+Asymptotic methods for the Fokker-Planck equation and the exit problem in applications
+Normal rank
@@ Property / cites work @@
+Q3750978
@@ Property / cites work: Q3750978 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3841797
@@ Property / cites work: Q3841797 / rank @@
+Normal rank
@@ Property / cites work @@
+The spectral methods for parabolic Volterra integro-differential equations
+Normal rank
@@ Property / cites work @@
+A survey of recent advances in the numerical treatment of Volterra integral and integro-differential equations
+Normal rank
@@ Property / cites work @@
+Product integration methods for solving a system of nonlinear Volterra integral equations
+Normal rank
@@ Property / cites work @@
+The Numerical Solution of an Abel Integral Equation by a Product Trapezoidal Method
+Normal rank
@@ Property / cites work @@
+The numerical solution of weakly singular integral equations based on the meshless product integration (MPI) method with error analysis
+Normal rank
@@ Property / cites work @@
+Product Integration for the Generalized Abel Equation
+Normal rank
@@ Property / cites work @@
+Q4271954
@@ Property / cites work: Q4271954 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3410604
@@ Property / cites work: Q3410604 / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
+Normal rank
@@ Property / cites work @@
+Q3331506
@@ Property / cites work: Q3331506 / rank @@
+Normal rank
@@ Property / cites work @@
+Q2929611
@@ Property / cites work: Q2929611 / rank @@
+Normal rank