Search Results - subject:"first passage time"

Market Expectation of Appreciation of the Renminbi

Hui, Cho-Hoi; Lo, Chi-Fai; Chung, Tsz-Kin - Hong Kong Monetary Authority - 2008

market based on first-passage-time distributions. Using market data of the renminbi spot exchange rates, non …

Persistent link: https://www.econbiz.de/10005813737

A Note on Estimating Realignment Probabilities -- A First-Passage-Time Approach

Hui, Cho-Hoi; Lo, Chi-Fai - Hong Kong Monetary Authority - 2008

on first-passage-time distributions instead of the commonly used path-independent approach. We consider that path … committed band by a central bank is breached. A mean-reverting lognormal process is considered in the first-passage-time …

Persistent link: https://www.econbiz.de/10005690168

Solutions of fractional nonlinear diffusion equation and first passage time: Influence of initial condition and diffusion coefficient

Wang, Jun; Zhang, Wen-Jun; Liang, Jin-Rong; Zhang, Pan; … - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 18, pp. 4547-4552

We investigate the solutions and the first passage time for anomalous diffusion processes governed by the fractional … probability distribution, the first passage time distribution, the mean first passage time and the mean squared displacement, and …

Persistent link: https://www.econbiz.de/10011063559

Asset sales when resale price is uncertain

Gao, Shumei; Song, Jihe; Luo, Zhengying - In: Investment management and financial innovations 11 (2014) 4, pp. 54-59

Persistent link: https://www.econbiz.de/10010514113

Efficiently pricing double barrier derivatives in stochastic volatility models

Escobar, Marcos; Hieber, Peter; Scherer, Matthias - In: Review of derivatives research 17 (2014) 2, pp. 191-216

Persistent link: https://www.econbiz.de/10010529630

The Mills Ratio and the behavior of redeemable bond prices in the Gaussian structural model of corporate default

Spencer, Peter D. - In: Finance research letters 11 (2014) 1, pp. 8-15

Persistent link: https://www.econbiz.de/10010393638

Efficiently pricing double barrier derivatives in stochastic volatility models

Escobar, Marcos; Hieber, Peter; Scherer, Matthias - In: Review of Derivatives Research 17 (2014) 2, pp. 191-216

Imposing a symmetry condition on returns, Carr and Lee (Math Financ 19(4):523–560, <CitationRef CitationID="CR10">2009</CitationRef>) show that (double) barrier derivatives can be replicated by a portfolio of European options and can thus be priced using fast Fourier techniques (FFT). We show that prices of barrier derivatives in...</citationref>

Persistent link: https://www.econbiz.de/10010989564

A note on the first passage time of diffusions with holding and jumping boundary

Peng, Jun - In: Statistics & Probability Letters 93 (2014) C, pp. 58-64

In this note we are concerned with the first passage time (FPT) of diffusions with holding and jumping boundary (DHJ …

Persistent link: https://www.econbiz.de/10010906222

Mean first passage time for random walk on dual structure of dendrimer

Li, Ling; Guan, Jihong; Zhou, Shuigeng - In: Physica A: Statistical Mechanics and its Applications 415 (2014) C, pp. 463-472

dynamic of complex systems. The mean first-passage time (MFPT) for random walks is a key index to evaluate the transport … the iterative construction, we explicitly determine both the partial mean first-passage time (PMFT, the average of MFPTs … to a given target) and the global mean first-passage time (GMFT, the average of MFPTs over all couples of nodes) on …

Persistent link: https://www.econbiz.de/10010939955

The Mills Ratio and the behavior of redeemable bond prices in the Gaussian structural model of corporate default

Spencer, Peter - In: Finance Research Letters 11 (2014) 1, pp. 8-15

comparative static properties of other models of corporate default and perhaps other first passage time models. …

Persistent link: https://www.econbiz.de/10010753689