Hitting time and time change

DOI10.1080/1350486042000190340MaRDI QIDQ4650906zbMATH OpenOpenAlexFDO

Authors Victor E. Vaugirard

Publication date 18 February 2005

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/1350486042000190340

zbMATH Keywords

Digital OptionForward-neutral MeasureJump-diffusion ProcessSoft BarrierTime Change

Mathematics Subject Classification ID

Diffusion processes (60J60)

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(11)

• Approximate expected hitting times of certain state variables of physics and economics
• A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: applications in finance
• A numerical scheme for expectations with first hitting time to smooth boundary
• First-passage-time distribution for variable-diffusion processes
• Double-barrier first-passage times of jump-diffusion processes
• Computational aspects of Monte-Carlo simulations of the first passage time for multivariate transformed Brownian motions with jumps
• On the First Passage time for Brownian Motion Subordinated by a Lévy Process
• Beat the clock
• Switching Times from Season to Single Tickets
• FIRST PASSAGE TIMES FOR RISK-TRACKING PROXIES
• A note on first-passage times of continuously time-changed Brownian motion

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