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

DOI10.1016/j.spl.2011.09.018zbMath1229.91310MaRDI QIDQ654495

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 option; first-passage time; first-exit time; time-changed Brownian motion; double-barrier problem

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

Related Items

Efficiently pricing double barrier derivatives in stochastic volatility models, The randomized first-hitting problem of continuously time-changed 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, First-passage times of regime switching models, Asymptotics of two-boundary first-exit-time densities for Gauss-Markov processes

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