Boundary Crossing Problem under Discrete Monitored Jump-Diffusion Models with Finance Applications
博士 === 國立中央大學 === 統計研究所 === 105 === In this dissertation, we study first passage times of crossing a flat boundary under mixed exponential jump diffusion models. We establish a continuity correction for the joint distribution of a flat passage time and its stopped underlying process when the event o...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2017
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| Online Access: | http://ndltd.ncl.edu.tw/handle/sgsvs4 |