User: Guest  Login
Title:

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

Document type:
Zeitschriftenaufsatz
Author(s):
Fernández, L.; Hieber, P.; Scherer, M.
Non-TUM Co-author(s):
nein
Cooperation:
-
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...     »
Keywords:
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
Journal title:
Monte Carlo Methods and Applications
Year:
2013
Journal volume:
19
Journal issue:
2
Pages contribution:
107-141
Reviewed:
ja
Language:
en
Fulltext / DOI:
doi:https://doi.org/10.1515/mcma-2013-0005
Status:
Verlagsversion / published
TUM Institution:
Lehrstuhl für Finanzmathematik
Format:
Text
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
 BibTeX
versions