First passage time probabilities for pearson diffusion process with application to options

Authors

• Saswat Patra
• Malay Bhattacharyya, Indian Institute of Management BangaloreFollow

Copyright Date

January 2017

Publication Date

1-1-2017

Keywords

Stochastic process, Markov processes, Pearson diffusion, Markov chain

Conference

8th Conference on Excellence in Research and Education (CERE), 4-7 May, 2017, IIM Indore