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Titel:

Double-barrier first-passage times of jump-diffusion processes

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Fernández, L.; Hieber, P.; Scherer, M.
Nicht-TUM Koautoren:
nein
Kooperation:
-
Abstract:
Required in a wide range of applications in, e.g., finance, engineering, and physics, first-passage time problems have attracted considerable interest over the past decades. Since analytical solutions often do not exist, one strand of research focuses on fast and accurate numerical techniques. In this paper, we present an efficient and unbiased Monte-Carlo simulation to obtain double-barrier first-passage time probabilities of a jump-diffusion process with arbitrary jump size distribution; exte...     »
Stichworte:
Double-barrier problem, first-exit time, first-passage time, Brownian bridge, corridor derivatives, barrier options, bonus certificates, first-touch options.
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
Monte Carlo Methods and Applications
Jahr:
2013
Band / Volume:
19
Heft / Issue:
2
Seitenangaben Beitrag:
107-141
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:https://doi.org/10.1515/mcma-2013-0005
Status:
Verlagsversion / published
TUM Einrichtung:
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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