Pages that link to "Item:Q654495"

The following pages link to A note on first-passage times of continuously time-changed Brownian motion (Q654495):

Displaying 17 items.

• Efficiently pricing double barrier derivatives in stochastic volatility models (Q488214) (← links)
• A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: applications in finance (Q1620012) (← links)
• The randomized first-hitting problem of continuously time-changed Brownian motion (Q1634350) (← links)
• Multi-period multi-criteria (MPMC) valuation of American options based on entropy optimization principles (Q1678729) (← links)
• Numerical determination of hitting time distributions from their Laplace transforms: simple cases (Q1782972) (← links)
• Some characterizations for Brownian motion with Markov switching (Q2060874) (← links)
• First-passage times of regime switching models (Q2251701) (← links)
• Asymptotics of two-boundary first-exit-time densities for Gauss-Markov processes (Q2283669) (← links)
• On the area under a continuous time Brownian motion till its first-passage time (Q3021782) (← links)
• The First Passage Time Density of Brownian Motion and the Heat Equation with Dirichlet Boundary Condition in Time Dependent Domains (Q3389453) (← links)
• On the First Passage time for Brownian Motion Subordinated by a Lévy Process (Q3621155) (← links)
• (Q4322824) (← links)
• Finite Mixture Approximation of CARMA(p,q) Models (Q5013835) (← links)
• First passage time and mean exit time for switching Brownian motion (Q5887755) (← links)
• Extracting implied volatilities from bank bonds (Q6077441) (← links)
• Some explicit expressions for GBM with Markovian switching and parameter estimations (Q6118234) (← links)
• Randomization and the valuation of guaranteed minimum death benefits (Q6167872) (← links)