A note on first-passage times of continuously time-changed Brownian motion

DOI10.1016/J.SPL.2011.09.018MaRDI QIDQ654495zbMATH OpenOpenAlexFDO

Authors Peter Hieber, Matthias Scherer

Publication date 28 December 2011

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2011.09.018

zbMATH Keywords

barrier optionfirst-passage timefirst-exit timetime-changed Brownian motiondouble-barrier problem

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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Cites work

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• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
• Credit risk modeling using time-changed Brownian motion
• Evaluating first-passage probabilities for spectrally one-sided Lévy processes
• First passage time distribution of a Wiener process with drift concerning two elastic barriers
• Mathematical methods for foreign exchange. A financial engineer's approach
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Pricing Options With Curved Boundaries¹
• Pricing double barrier options using Laplace transforms
• Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
• The First Passage Problem for a Continuous Markov Process
• Time changes for Lévy processes
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Two singular diffusion problems

Cited in

(19)

• First-passage times of regime switching models
• scientific article; zbMATH DE number 721874 (Why is no real title available?)
• Randomization and the valuation of guaranteed minimum death benefits
• On the area under a continuous time Brownian motion till its first-passage time
• A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: applications in finance
• Hitting time and time change
• Asymptotics of two-boundary first-exit-time densities for Gauss-Markov processes
• First passage time and mean exit time for switching Brownian motion
• Multi-period multi-criteria (MPMC) valuation of American options based on entropy optimization principles
• Numerical determination of hitting time distributions from their Laplace transforms: simple cases
• On the First Passage time for Brownian Motion Subordinated by a Lévy Process
• Efficiently pricing double barrier derivatives in stochastic volatility models
• The randomized first-hitting problem of continuously time-changed Brownian motion
• Some characterizations for Brownian motion with Markov switching
• First exit-time analysis for an approximate Barndorff-Nielsen and Shephard model with stationary self-decomposable variance process
• The First Passage Time Density of Brownian Motion and the Heat Equation with Dirichlet Boundary Condition in Time Dependent Domains
• Extracting implied volatilities from bank bonds
• Finite mixture approximation of CARMA(p,q) models
• Some explicit expressions for GBM with Markovian switching and parameter estimations

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