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Title:

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

Document type:
Zeitschriftenaufsatz
Author(s):
Hieber, P.; Scherer, M.
Non-TUM Co-author(s):
nein
Cooperation:
-
Abstract:
The probability of a Brownian motion with drift to remain between two constant barriers (for some period of time) is known explicitly. In mathematical finance, this and related results are required, e.g., for the pricing of single- and double-barrier options in a Black-Scholes framework. One popular possibility to generalize the Black-Scholes model is to introduce a stochastic time-scale. This equips the modelled returns with desirable stylized facts such as volatility clusters and jumps. For co...     »
Keywords:
Double-barrier problem, first-exit time, first-passage time, time change, time-changed Brownian motion, Fourier pricing, barrier option
Intellectual Contribution:
Discipline-based Research
Journal title:
Statistics and Probability Letters
Year:
2012
Journal volume:
82
Quarter:
1. Quartal
Month:
Jan
Journal issue:
1
Pages contribution:
165-172
Reviewed:
ja
Language:
en
Fulltext / DOI:
doi:https://doi.org/10.1016/j.spl.2011.09.018
Status:
Verlagsversion / published
Semester:
SS 02
TUM Institution:
Lehrstuhl für Finanzmathematik
Format:
Text
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
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