Search Results - subject:"First‐Hitting Time"

Valuing American options using multi-step rebate options

Lee, Hangsuck; Ha, Hongjun; Lee, Gaeun; Lee, Minha - In: The North American journal of economics and finance : a … 74 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10015135027

Pricing first-touch digitals with a multi-step double boundary and American barrier options

Lee, Hangsuck; Ha, Hongjun; Kong, Byungdoo - In: Finance research letters 59 (2024), pp. 1-10

Persistent link: https://www.econbiz.de/10014445122

Credit risk pricing in a consumption-based equilibrium framework with incomplete accounting information

Ma, Junchi; Ogunsolu, Mobolaji; Qiu, Jinniao; Sezer, … - In: Mathematical finance : an international journal of … 33 (2023) 3, pp. 666-708

Persistent link: https://www.econbiz.de/10014329901

On the laplace transforms of the first hitting times for drawdowns and drawups of diffusion-type processes

Gapeev, Pavel V.; Rodosthenous, Neofytos; … - In: Risks 7 (2019) 3, pp. 1-15

We obtain closed-form expressions for the value of the joint Laplace transform of the running maximum and minimum of a diffusion-type process stopped at the first time at which the associated drawdown or drawup process hits a constant level before an independent exponential random time. It is...

Persistent link: https://www.econbiz.de/10013200505

Monte Carlo simulation of boundary crossing probabilities with applications to finance and statistics

Gür, Sercan - 2019

Persistent link: https://www.econbiz.de/10012197036

On the laplace transforms of the first hitting times for drawdowns and drawups of diffusion-type processes

Gapeev, Pavel V.; Rodosthenous, Neofytos; … - In: Risks : open access journal 7 (2019) 3/87, pp. 1-15

Persistent link: https://www.econbiz.de/10012126486

Reliability analysis of a system with two-stage degradation using Wiener processes with piecewise linear drift

Dong, Qinglai; Cui, Lirong - In: IMA journal of management mathematics 32 (2021) 1, pp. 3-29

Persistent link: https://www.econbiz.de/10012314070

Running-time Analysis of Ant System Algorithms with Upper-bound Comparison

Huang, Han; Wu, Hongyue; Zhang, Yushan; Lin, Zhiyong; … - In: International Journal of Swarm Intelligence Research (IJSIR) 8 (2017) 4, pp. 1-17

expected first-hitting time (FHT), the least number of iterations needed to attain the global optimal solution on average. The …

Persistent link: https://www.econbiz.de/10012047852

An adaptive Monte Carlo approach for pricing Parisian options with general boundaries

Gűr, Sercan - In: The journal of computational finance 23 (2020) 5, pp. 101-119

Persistent link: https://www.econbiz.de/10012295871

Old problems, classical methods, new solutions

Lipton, Alexander - In: International journal of theoretical and applied finance 23 (2020) 4, pp. 1-37

Persistent link: https://www.econbiz.de/10012284595