Hitting-time models for option pricing in illiquid markets

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dc.contributor.authorShchestyuk, Nataliya en_US
dc.contributor.authorTyshchenko, Serhii en_US
dc.date.accessioned2025-01-29T08:12:53Z
dc.date.available2025-01-29T08:12:53Z
dc.date.issued2024
dc.description.abstractThe 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. en_US
dc.identifier.citationShchestyuk 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. en_US
dc.identifier.urihttps://ekmair.ukma.edu.ua/handle/123456789/33363
dc.language.isoen
dc.relation.sourceUkraine Mathematics Conference "At the End of the Year 2024", December 16–18, 2024 : book of abstracts en_US
dc.statusfirst published en_US
dc.subjecttime models en_US
dc.subjectdynamic of illiquid market en_US
dc.subjecthitting time process en_US
dc.subjectoption pricing techniques en_US
dc.subjectconference abstracts en_US
dc.titleHitting-time models for option pricing in illiquid markets en_US
dc.typeConference materials en_US
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