A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: Applications in finance

Author:

Ballestra Luca Vincenzo,Pacelli Graziella,Radi Davide

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Cited by 4 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. Light scattering as a Poisson process and first-passage probability;Journal of Statistical Mechanics: Theory and Experiment;2020-06-01

2. Parallel computation of PDFs on big spatial data using Spark;Distributed and Parallel Databases;2019-02-21

3. Pricing Option with Stochastic Interest Rates and Transaction Costs in Fractional Brownian Markets;Discrete Dynamics in Nature and Society;2018-08-01

4. Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion;Physica A: Statistical Mechanics and its Applications;2018-01

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