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Hitting time and time change - MaRDI portal

Hitting time and time change

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Publication:4650906

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DOI10.1080/1350486042000190340zbMath1090.91047OpenAlexW3121426175MaRDI QIDQ4650906

Victor E. Vaugirard

Publication date: 18 February 2005

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486042000190340

zbMATH Keywords

Time Change Digital Option Forward-neutral Measure Jump-diffusion Process Soft Barrier

Mathematics Subject Classification ID

Diffusion processes (60J60)

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