Efficient computation of first passage times in Kou's jump-diffusion model (Q1707057)
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scientific article; zbMATH DE number 6854253
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| English | Efficient computation of first passage times in Kou's jump-diffusion model |
scientific article; zbMATH DE number 6854253 |
Statements
Efficient computation of first passage times in Kou's jump-diffusion model (English)
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28 March 2018
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Kou model
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Lévy processes
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first-passage times
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Laplace transforms
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Bromwich integral
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0.8239685893058777
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0.7919782996177673
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0.7767797708511353
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0.7732426524162292
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0.77197265625
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