Iterative algorithm for the first passage time distribution...

Iterative algorithm for the first passage time distribution in a jump–diffusion model with regime-switching, and its applications

Kim, Jerim, Kim, Bara, Wee, In-Suk
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Volume:
294
Language:
english
Journal:
Journal of Computational and Applied Mathematics
DOI:
10.1016/j.cam.2015.08.015
Date:
March, 2016
File:
PDF, 661 KB
english, 2016
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