Double-barrier first-passage times of jump-diffusion processes

DOI10.1515/mcma-2013-0005zbMath1410.91446OpenAlexW1460459553MaRDI QIDQ2844294

Lexuri Fernández, Matthias Scherer, Peter Hieber

Publication date: 28 August 2013

Published in: mcma (Search for Journal in Brave)

Full work available at URL: https://mediatum.ub.tum.de/doc/1114133/document.pdf

zbMATH Keywords

first-passage timebarrier optionsfirst-exit timeBrownian Bridgedouble-barrier problembonus certificatescorridor derivativesfirst-touch options

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Diffusion processes and stochastic analysis on manifolds (58J65) Complexity and performance of numerical algorithms (65Y20)

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