Hitting-time models for option pricing in illiquid markets
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Date
2024
Authors
Shchestyuk, Nataliya
Tyshchenko, Serhii
Journal Title
Journal ISSN
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Abstract
The hitting time process arises naturally in fields such as insurance, process control and survival analysis. Hitting time models are also applied to describe the dynamic of illiquid market when relatively long periods without any trading are observed.
Description
Keywords
time models, dynamic of illiquid market, hitting time process, option pricing techniques, conference abstracts
Citation
Shchestyuk N. Hitting-time models for option pricing in illiquid markets / Nataliya Shchestyuk, Sergij Tyshchenko // Ukraine Mathematics Conference "At the End of the Year 2024", December 16–18, 2024 : book of abstracts / Taras Shevchenko National University of Kyiv, Institute of Mathematics of National Academy of Sciences of Ukraine. - Kyiv, 2024. - P. 83.