Image de couverture de livre

Explicit Asymptotics on First Passage Times of Diffusion Processes

Fuente: arXiv

Enregistré dans:

Détails bibliographiques
Auteurs principaux:	Dassios, Angelos, Li, Luting
Format:	Preprint
Publié:	2018
Sujets:	Probability Numerical Analysis Mathematical Finance 91G60, 60G40, 62E17, 91G80
Accès en ligne:	Acceder al recurso
Tags:	Ajouter un tag Pas de tags, Soyez le premier à ajouter un tag!

Documents similaires

Second-Order Approximation of Limit Order Books in a Single-Scale Regime
par: Horst, Ulrich, et autres
Publié: (2023)

Scaling Limits of Bivariate Nearly-Unstable Hawkes Processes and Applications to Rough Volatility
par: Karmi, Sohaib El
Publié: (2026)

Dependent Default Modeling through Multivariate Generalized Cox Processes
par: Gueye, Djibril, et autres
Publié: (2025)

Stopping Times Occurring Simultaneously
par: Protter, Philip, et autres
Publié: (2021)

From constant to rough: A survey of continuous volatility modeling
par: Di Nunno, Giulia, et autres
Publié: (2023)

Gradient-enhanced sparse Hermite polynomial expansions for pricing and hedging high-dimensional American options
par: Yang, Jiefei, et autres
Publié: (2024)

A Càdlàg Rough Path Foundation for Robust Finance
par: Allan, Andrew L., et autres
Publié: (2021)

Extreme ATM skew in a local volatility model with discontinuity: joint density approach
par: Gairat, Alexander, et autres
Publié: (2023)

Utility maximization in constrained and unbounded financial markets: Applications to indifference valuation, regime switching, consumption and Epstein-Zin recursive utility
par: Hu, Ying, et autres
Publié: (2017)

Optimal hedging of a perpetual American put with a single trade
par: Cai, Cheng, et autres
Publié: (2020)

A Monotone Limit Approach to Entropy-Regularized American Options
par: Chee, Daniel, et autres
Publié: (2026)

Model-independent upper bounds for the prices of Bermudan options with convex payoffs
par: Hobson, David, et autres
Publié: (2025)

Near-Maturity Asymptotics of Critical Prices of American Put Options under Exponential Lévy Models
par: Figueroa-López, José E., et autres
Publié: (2025)

A unified theory of order flow, market impact, and volatility
par: Muhle-Karbe, Johannes, et autres
Publié: (2026)

On variable annuities with surrender charges
par: De Angelis, Tiziano, et autres
Publié: (2024)

Filtering in a hazard rate change-point model with financial and life-insurance applications
par: Buttarazzi, Matteo, et autres
Publié: (2025)

Hedging in Jump Diffusion Model with Transaction Costs
par: Almani, Hamidreza Maleki, et autres
Publié: (2024)

Callable convertible bonds under liquidity constraints and hybrid priorities
par: Hobson, David, et autres
Publié: (2021)

Rough Heston model as the scaling limit of bivariate cumulative heavy-tailed INAR processes: Weak-error bounds and option pricing
par: Wang, Yingli, et autres
Publié: (2025)

On Inhomogeneous Affine Volterra Processes: Stationarity and Applications to the Volterra Heston Model
par: Gnabeyeu, Emmanuel, et autres
Publié: (2025)

A theory of passive market impact
par: Chahdi, Youssef Ouazzani, et autres
Publié: (2024)

Pricing American options under rough volatility using deep-signatures and signature-kernels
par: Bayer, Christian, et autres
Publié: (2025)

Time evaluation of portfolio for asymmetrically informed traders
par: D'Auria, Bernardo, et autres
Publié: (2024)

Existence of affine realizations for stochastic partial differential equations driven by Lévy processes
par: Tappe, Stefan
Publié: (2019)

Real-world forward rate dynamics with affine realizations
par: Platen, Eckhard, et autres
Publié: (2019)

Affine realizations with affine state processes for stochastic partial differential equations
par: Tappe, Stefan
Publié: (2019)

Existence of Lévy term structure models
par: Filipović, Damir, et autres
Publié: (2019)

Gatheral double stochastic volatility model with Skorokhod reflection
par: Mishura, Yuliya, et autres
Publié: (2025)

Pricing with Passion: The Local Occupied Volatility (LOV) Model
par: Tissot-Daguette, Valentin
Publié: (2026)

Robust Hedging of American Options via Aggregated Snell Envelopes
par: Rodrigues, Marco
Publié: (2025)

Rough PDEs for local stochastic volatility models
par: Bank, Peter, et autres
Publié: (2023)

Pricing and hedging for a sticky diffusion
par: Anagnostakis, Alexis
Publié: (2023)

The Support and Resistance Line Method: An Analysis via Optimal Stopping
par: Henderson, Vicky, et autres
Publié: (2021)

Financial Stochastic Models Diffusion: From Risk-Neutral to Real-World Measure
par: Alaya, Mohamed Ben, et autres
Publié: (2024)

Rough Martingale Optimal Transport: Theory, Implementation, and Regulatory Applications for Non-Modelable Risk Factors
par: B., Sri Sairam Gautam, et autres
Publié: (2026)

Long memory score-driven models as approximations for rough Ornstein-Uhlenbeck processes
par: Wu, Yinhao, et autres
Publié: (2025)

Betting Around the Clock: Time Change and Long Term Model Risk
par: Cherubini, Umberto
Publié: (2026)

Short-rate models with stochastic discontinuities: a PDE approach
par: Calvia, Alessandro, et autres
Publié: (2025)

Fake stationary rough Heston volatility: Microstructure-inspired foundations
par: Gnabeyeu, Emmanuel, et autres
Publié: (2026)

Risk premium and rough volatility
par: Bonesini, Ofelia, et autres
Publié: (2024)