FIRST PASSAGE TIMES FOR RISK-TRACKING PROXIES
From MaRDI portal
Publication:5462701
DOI10.1142/S0219024905003128zbMath1139.91344MaRDI QIDQ5462701
Publication date: 3 August 2005
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
60G40: Stopping times; optimal stopping problems; gambling theory
Cites Work
- A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary
- An Intertemporal General Equilibrium Model of Asset Prices
- PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
- Pricing Options With Curved Boundaries1
- Valuing catastrophe bonds by Monte Carlo simulations
- On modelling and pricing weather derivatives
- An equilibrium characterization of the term structure
- Option pricing when underlying stock returns are discontinuous