A note on first-passage times of continuously time-changed Brownian motion

DOI10.1016/j.spl.2011.09.018zbMath1229.91310OpenAlexW2062938055MaRDI QIDQ654495

Peter Hieber, Matthias Scherer

Publication date: 28 December 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.09.018

zbMATH Keywords

barrier optionfirst-passage timefirst-exit timetime-changed Brownian motiondouble-barrier problem

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (12)

First passage time and mean exit time for switching Brownian motion ⋮ The randomized first-hitting problem of continuously time-changed Brownian motion ⋮ Multi-period multi-criteria (MPMC) valuation of American options based on entropy optimization principles ⋮ Extracting implied volatilities from bank bonds ⋮ Some explicit expressions for GBM with Markovian switching and parameter estimations ⋮ Randomization and the valuation of guaranteed minimum death benefits ⋮ Efficiently pricing double barrier derivatives in stochastic volatility models ⋮ First-passage times of regime switching models ⋮ Numerical determination of hitting time distributions from their Laplace transforms: simple cases ⋮ Asymptotics of two-boundary first-exit-time densities for Gauss-Markov processes ⋮ Some characterizations for Brownian motion with Markov switching ⋮ Finite Mixture Approximation of CARMA(p,q) Models

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