Boundary crossing probabilities of jump diffusion processes to time-dependent boundaries (Q2176382): Difference between revisions

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+On the first hitting time of a one-dimensional diffusion and a compound Poisson process
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+Russian and American put options under exponential phase-type Lévy models.
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+PRICING ASIAN OPTIONS FOR JUMP DIFFUSION
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+Efficient computation of first passage times in Kou's jump-diffusion model
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+The Pricing of Options and Corporate Liabilities
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+Financial Modelling with Jump Processes
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+Linear and Nonlinear Boundary Crossing Probabilities for Brownian Motion and Related Processes
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+A Jump-Diffusion Model for Option Pricing
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+First passage times of a jump diffusion process
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+Option pricing when underlying stock returns are discontinuous
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