Double-barrier first-passage times of jump-diffusion processes
type: Item
instance of: scholarly article
title: Double-barrier first-passage times of jump-diffusion processes
zbMATH Open document ID: 1410.91446
author: Lexuri Fernández
author: Peter Hieber
author: Matthias Scherer
publication date: 2013-08-28T00:00:00Z
full work available at URL: document.pdf
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65Y20
Mathematics Subject Classification ID: 58J65
zbMATH DE Number: 6202453
zbMATH Keywords: double-barrier problem
zbMATH Keywords: first-exit time
zbMATH Keywords: first-passage time
zbMATH Keywords: Brownian Bridge
zbMATH Keywords: corridor derivatives
zbMATH Keywords: barrier options
zbMATH Keywords: bonus certificates
zbMATH Keywords: first-touch options
MaRDI profile type: Publication
OpenAlex ID: W1460459553
DOI: 10.1515/MCMA-2013-0005
published in: Monte Carlo Methods and Applications
description: scientific article; zbMATH DE number 6202453