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

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

On Computational Methods for the Valuation of Credit Derivatives

Zhang, Wanhe - 2010

continuous-time dynamic model, we model the default of an underlying by the first hitting time of a Wiener process, which starts …

Persistent link: https://www.econbiz.de/10009455259

Approximating the randomized hitting time distribution of a non-stationary gamma process

Frenk, J.B.G.; Nicolai, R.P. - Erasmus University Rotterdam, Econometric Institute - 2007

process, first hitting time, random threshold, condition- based maintenance, approximation. ⁄Corresponding author. Econometric … a way that the first hitting time of R can take a wide range of values we fix the value of the expectation of R to 100 …

Persistent link: https://www.econbiz.de/10005450844

Approximating the Randomized Hitting Time Distribution of a Non-stationary Gamma Process

Nicolai, R.P.; Frenk, Frenk, J.B.G. - Erasmus Research Institute of Management (ERIM), … - 2007

The non-stationary gamma process is a non-decreasing stochastic process with independent increments. By this monotonic behavior this stochastic process serves as a natural candidate for modelling time-dependent phenomena such as degradation. In condition-based maintenance the first time such a...

Persistent link: https://www.econbiz.de/10010731493

Approximating the randomized hitting time distribution of a non-stationary gamma process

Nicolai, R.P.; Frenk, Frenk, J.B.G. - Faculteit der Economische Wetenschappen, Erasmus … - 2007

Persistent link: https://www.econbiz.de/10010837812

Approximating the Randomized Hitting Time Distribution of a Non-stationary Gamma Process

Frenk, J.B.G.; Nicolai, R.P. - Erasmus Research Institute of Management (ERIM), ERIM … - 2007

for its cdf. Free Keywords Non-stationary gamma process, First hitting time, Random threshold, Condition based …. Keywords: non-stationary gamma process, first hitting time, random threshold, condition- based maintenance, approximation … a way that the first hitting time of R can take a wide range of values we fix the value of the expectation of R to 100 …

Persistent link: https://www.econbiz.de/10005288831