A computational approach to first passage problems of reflected hyperexponential jump diffusion processes
Year of publication: |
2021
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Authors: | Cai, Ning ; Yang, Xuewei |
Published in: |
INFORMS journal on computing : JOC. - Catonsville, MD : INFORMS, ISSN 1091-9856, ZDB-ID 1316077-1. - Vol. 33.2021, 1, p. 216-229
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Subject: | first passage times | reflected jump diffusion processes | hyperexponential distributions | reflecting barrier | transition density | ordinary integro-differential equations | martingale methods | Stochastischer Prozess | Stochastic process | Statistische Verteilung | Statistical distribution | Optionspreistheorie | Option pricing theory | Martingal | Martingale | Volatilität | Volatility |
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