Pages that link to "Item:Q1620012"
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The following pages link to A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: applications in finance (Q1620012):
Displayed 4 items.
- Pricing option with stochastic interest rates and transaction costs in fractional Brownian markets (Q1727210) (← links)
- A revised version of the Cathcart \& El-Jahel model and its application to CDS market (Q2064595) (← links)
- Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion (Q2150007) (← links)
- Light scattering as a Poisson process and first-passage probability (Q5135048) (← links)