A very efficient approach to compute the first-passage...

Physica A: Statistical Mechanics and its Applications 2016 / 12 Vol. 463

A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: Applications in finance

Ballestra, Luca Vincenzo, Pacelli, Graziella, Radi, Davide
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Volume:
463
Language:
english
Journal:
Physica A: Statistical Mechanics and its Applications
DOI:
10.1016/j.physa.2016.07.016
Date:
December, 2016
File:
PDF, 558 KB
english, 2016
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