In this paper, we propose a Monte-Carlo-based methodology for the solution of the first passage time problem in the context of multivariate (and correlated) ...
This paper proposes a Monte-Carlo-based methodology for the solution of the first passage time problem in the context of multivariate (and correlated) ...
Feb 28, 2007 · Abstract. Many problems in finance require the information on the first passage time (FPT) of a stochastic process.
Dec 19, 2008 · The first passage time (FPT) problem is an important problem with a wide range of applications in science, engineering, economics, ...
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A Monte-Carlo-based methodology for the solution of the FPT problem in the context of a multivariate jump-diffusion stochastic process is developed and ...
Feb 28, 2007 · The developed methodology is tested by using different parameters, the simulation results indicate that the developed methodology is much more ...
SUMMARY. The first passage time (FPT) problem is an important problem with a wide range of applications in science, engineering, economics, and industry.
In this paper, we develop a Monte-Carlo-based methodology for the solution of the FPT problem in the context of a multivariate jump-diffusion stochastic process ...
The first passage time (FPT) problem is an important problem with a wide range of applications in science, engineering, economics, and industry.
[19] Zhang, D., Melnik, R.V.N., First passage time for multivariate jump-diffusion processes in finance and other areas of applications, Applied. Stochastic ...