A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: applications in finance (Q1620012)
From MaRDI portal
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
A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: applications in finance (English)
0 references
13 November 2018
0 references
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
0 references
0 references
0 references
0 references
0 references
0 references
0 references
