Efficient computation of first passage times in Kou's jump-diffusion model (Q1707057)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient computation of first passage times in Kou's jump-diffusion model |
scientific article |
Statements
Efficient computation of first passage times in Kou's jump-diffusion model (English)
0 references
28 March 2018
0 references
Kou model
0 references
Lévy processes
0 references
first-passage times
0 references
Laplace transforms
0 references
Bromwich integral
0 references
