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Titel:

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

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Hieber, P.; Scherer, M.
Nicht-TUM Koautoren:
nein
Kooperation:
-
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...     »
Stichworte:
Double-barrier problem, first-exit time, first-passage time, time change, time-changed Brownian motion, Fourier pricing, barrier option
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
Statistics and Probability Letters
Jahr:
2012
Band / Volume:
82
Quartal:
1. Quartal
Monat:
Jan
Heft / Issue:
1
Seitenangaben Beitrag:
165-172
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:https://doi.org/10.1016/j.spl.2011.09.018
Status:
Verlagsversion / published
Semester:
SS 02
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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