Efficient computation of first passage times in Kou's jump-diffusion model
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Publication:1707057
DOI10.1007/s11009-016-9538-zzbMath1383.60041arXiv1604.06028OpenAlexW2963005257MaRDI QIDQ1707057
Publication date: 28 March 2018
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1604.06028
Processes with independent increments; Lévy processes (60G51) Meromorphic functions of one complex variable (general theory) (30D30)
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Cites Work
- A Jump-Diffusion Model for Option Pricing
- Meromorphic Lévy processes and their fluctuation identities
- The Fourier-series method for inverting transforms of probability distributions
- Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes
- First passage times of a jump diffusion process
- Numerical Inversion of Laplace Transforms of Probability Distributions
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