The double-barrier inverse first-passage problem for Wiener process with random starting point
Year of publication: |
2013
|
---|---|
Authors: | Abundo, Mario |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 1, p. 168-176
|
Publisher: |
Elsevier |
Subject: | First-passage time | Inverse first-passage problem | Diffusion |
-
An inverse first-passage problem for one-dimensional diffusions with random starting point
Abundo, Mario, (2012)
-
Efficiently pricing double barrier derivatives in stochastic volatility models
Escobar, Marcos, (2014)
-
Catalão, André, (2020)
- More ...
-
Some conditional crossing results of Brownian motion over a piecewise-linear boundary
Abundo, Mario, (2002)
-
An inverse first-passage problem for one-dimensional diffusions with random starting point
Abundo, Mario, (2012)
- More ...