A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: applications in finance
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Publication:1620012
DOI10.1016/j.physa.2016.07.016zbMath1400.60104OpenAlexW2497877191MaRDI QIDQ1620012
Luca Vincenzo Ballestra, Graziella Pacelli, Davide Radi
Publication date: 13 November 2018
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2016.07.016
option pricingnumerical quadraturesystem of integral equationsdefault risktime-changed Brownian motionfirst-passage probability
Numerical methods (including Monte Carlo methods) (91G60) Brownian motion (60J65) Financial applications of other theories (91G80)
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