First hitting time of integral diffusions and applications
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Publication:3133494
DOI10.1080/15326349.2017.1300920zbMATH Open1380.60073OpenAlexW2605143660MaRDI QIDQ3133494FDOQ3133494
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Publication date: 2 February 2018
Published in: Stochastic Models (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/15326349.2017.1300920
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Derivative securities (option pricing, hedging, etc.) (91G20) Diffusion processes (60J60) Laplace transform (44A10) Martingales with continuous parameter (60G44)
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- The first hitting time of stochastic volatility models
- Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
- Hitting time and time change
- Fractionally integrated Gauss-Markov processes and applications
- On the first hitting time density for a reducible diffusion process
- Efficiency of institutional spending and investment rules
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- The Laplace transform of hitting times of integrated geometric Brownian motion
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- Concentration of first hitting times under additive drift
- Tails of the first hitting times of linear diffusions
- Pricing discretely monitored Asian options under regime-switching and stochastic volatility models with jumps
- Recurrent first hitting times in Wiener diffusion under several observation schemes
- Laplace transforms for the first hitting time of a Brownian motion
- A structure-preserving method for the distribution of the first hitting time to a moving boundary for some Gaussian processes
- Application of the first hitting time to price exotic options
- The randomized first-hitting problem of continuously time-changed Brownian motion
- On asymptotic behavior of solutions of linear inhomogeneous stochastic differential equations with correlated inputs
- Laplace transform identities for diffusions, with applications to rebates and barrier options
- Perpetual integral functionals of diffusions and their numerical computations
- A characterization of the first hitting time of double integral processes to curved boundaries
- Density of generalized Verhulst process and Bessel process with constant drift
- On the expectation of normalized Brownian functionals up to first hitting times
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