Search Results - subject:"first hitting"

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

A profit model for spread trading with an application to energy futures

Kanamura, Takashi; Rachev, Svetlozar T.; Fabozzi, Frank J. - 2011

its first hitting time probability density. The model is general in that it can be used for any financial instrument. The … advantage of the model is that the profit from the trades can be easily calculated if the first hitting time probability density …. It is shown that energy futures spreads are modeled by using a meanreverting process. Since the first hitting time …

Persistent link: https://www.econbiz.de/10010304718

A profit model for spread trading with an application to energy futures

Kanamura, Takashi; Rachev, Svetlozar T.; Fabozzi, Frank J. - Fakultät für Wirtschaftswissenschaften, Karlsruhe … - 2011

Persistent link: https://www.econbiz.de/10009024644

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