On some functionals of the first passage times in models with switching stochastic volatility
Pavel V. Gapeev, Oliver Brockhaus and Mathieu Dubois
| Year of publication: |
February 2018
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| Authors: | Gapeev, Pavel V. ; Brockhaus, Oliver ; Dubois, Mathieu |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 21.2018, 1, p. 1-21
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| Subject: | Two-dimensional diffusion-type processes | continuous-time Markov chains | first exit times | generalized Laplace transforms | stochastic volatility | boundary-value problems | elliptic-type partial differential equations | mean-reverting and diverting property | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory | Analysis | Mathematical analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024918500012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011845962