Efficient computation of first passage times in Kou's jump-diffusion model (Q1707057)
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English | Efficient computation of first passage times in Kou's jump-diffusion model |
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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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