First passage time for multivariate jump-diffusion processes in finance and other areas of applications

DOI10.1002/asmb.745zbMath1224.91176MaRDI QIDQ3077491

Dianzhou Zhang, Roderick V. Nicholas Melnik

Publication date: 22 February 2011

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.745

zbMATH Keywords

stochastic differential equations; jump-diffusion processes; multiscale problems; default correlations; first passage time problems; modified Monte Carlo algorithms

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

91G40: Credit risk

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