A reading guide for last passage times with financial applications in view

Ashkan Nikeghbali () and Eckhard Platen ()

Finance and Stochastics, 2013, vol. 17, issue 3, 615-640

Abstract: In this survey on last passage times, we propose a new viewpoint which provides a unified approach to many different results which appear in the mathematical finance literature and in the theory of stochastic processes. In particular, we are able to improve the assumptions under which some well-known results are usually stated. Moreover we give some new and detailed calculations for the computation of the distribution of some large classes of last passage times. We have kept in this survey only the aspects of the theory which we expect potentially to be relevant for financial applications. Copyright Springer-Verlag Berlin Heidelberg 2013

Keywords: Last passage times; Class Σ; Running maximum; 60G17; 62P05; C02; C10; G10 (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1007/s00780-013-0207-6

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