FIRST PASSAGE TIMES FOR RISK-TRACKING PROXIES

DOI10.1142/S0219024905003128MaRDI QIDQ5462701zbMATH OpenOpenAlexFDO

Authors Victor E. Vaugirard

Publication date 3 August 2005

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024905003128

zbMATH Keywords

Hitting timejump-diffusionshadow pricesoft barriertime change

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

• A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary
• An equilibrium characterization of the term structure
• An Intertemporal General Equilibrium Model of Asset Prices
• On modelling and pricing weather derivatives
• Option pricing when underlying stock returns are discontinuous
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Pricing Options With Curved Boundaries¹
• Valuing catastrophe bonds by Monte Carlo simulations

Cited in

(3)

• Hitting time and time change
• First passage phenomena from the new perspective and generalized maximal loss
• On short-term loan interest rate models: a first passage time approach

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