On some functionals of the first passage times in jump models of stochastic volatility (Q5206083)
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scientific article; zbMATH DE number 7144200
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| English | On some functionals of the first passage times in jump models of stochastic volatility |
scientific article; zbMATH DE number 7144200 |
Statements
On some functionals of the first passage times in jump models of stochastic volatility (English)
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18 December 2019
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two-dimensional jump processes
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first-exit times
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generalized Laplace transforms
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stochastic volatility
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boundary-value problems
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partial integro-differential equations
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solvable stochastic differential equations
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non-affine processes
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mean-reverting and diverting property
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0.8959609866142273
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0.8103641867637634
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0.7989515662193298
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0.7790862321853638
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