A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes
Work
Year: 2020
Type: article
Source: INFORMS journal on computing
Authors Ning Cai, Xuewei Yang
Institutions Hong Kong University of Science and Technology, University of Hong Kong, Nanjing University
Cites: 51
Cited by: 6
Related to: 10
FWCI: 0.871
Citation percentile (by year/subfield): 91.52
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Reduced inequalities
Open Access status: closed