A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: applications in finance

DOI10.1016/j.physa.2016.07.016zbMath1400.60104OpenAlexW2497877191MaRDI QIDQ1620012

Luca Vincenzo Ballestra, Graziella Pacelli, Davide Radi

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2016.07.016

zbMATH Keywords

option pricingnumerical quadraturesystem of integral equationsdefault risktime-changed Brownian motionfirst-passage probability

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Brownian motion (60J65) Financial applications of other theories (91G80)

Related Items

Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion, Light scattering as a Poisson process and first-passage probability, Pricing option with stochastic interest rates and transaction costs in fractional Brownian markets, A revised version of the Cathcart \& El-Jahel model and its application to CDS market

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