A note on first-passage times of continuously time-changed Brownian motion
type: Item
instance of: scholarly article
title: A note on first-passage times of continuously time-changed Brownian motion
zbMATH Open document ID: 1229.91310
author: Peter Hieber
author: Matthias Scherer
published in: Statistics \& Probability Letters
publication date: 2011-12-28T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60J70
zbMATH DE Number: 5992505
zbMATH Keywords: double-barrier problem
zbMATH Keywords: first-exit time
zbMATH Keywords: first-passage time
zbMATH Keywords: time-changed Brownian motion
zbMATH Keywords: barrier option
MaRDI profile type: Publication
full work available at URL: j.spl.2011.09.018
OpenAlex ID: W2062938055
cites work: Q4223075
cites work: A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
cites work: Q3883242
cites work: The First Passage Problem for a Continuous Markov Process
cites work: Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
cites work: First passage time distribution of a Wiener process with drift concerning two elastic barriers
cites work: Transform Analysis and Asset Pricing for Affine Jump-diffusions
cites work: Two singular diffusion problems
cites work: PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
cites work: Time changes for Lévy processes
cites work: CREDIT RISK MODELING USING TIME-CHANGED BROWNIAN MOTION
cites work: Pricing Options With Curved Boundaries1
cites work: Mathematical methods for foreign exchange. A financial engineer's approach
cites work: Q4772680
cites work: Pricing double barrier options using Laplace transforms
cites work: Evaluating first-passage probabilities for spectrally one-sided Lévy processes
cites work: Q4003084
cites work: ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
DOI: 10.1016/J.SPL.2011.09.018
description: scientific article; zbMATH DE number 5992505