A note on first-passage times of continuously time-changed Brownian motion
Year of publication: |
2012
|
---|---|
Authors: | Hieber, Peter ; Scherer, Matthias |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 82.2012, 1, p. 165-172
|
Publisher: |
Elsevier |
Subject: | Double-barrier problem | First-exit time | First-passage time | Time-changed Brownian motion | Barrier option |
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