First hitting time of integral diffusions and applications

DOI10.1080/15326349.2017.1300920MaRDI QIDQ3133494zbMATH OpenOpenAlexFDO

Authors

Publication date 2 February 2018

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/15326349.2017.1300920

zbMATH Keywords

Asian optionsfirst hitting timeLaplace transformstochastic time changevolatility derivative

Mathematics Subject Classification ID

Laplace transform (44A10) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(23)

• The randomized first-hitting problem of continuously time-changed Brownian motion
• A structure-preserving method for the distribution of the first hitting time to a moving boundary for some Gaussian processes
• Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
• Fractionally integrated Gauss-Markov processes and applications
• On the expectation of normalized Brownian functionals up to first hitting times
• On asymptotic behavior of solutions of linear inhomogeneous stochastic differential equations with correlated inputs
• Concentration of first hitting times under additive drift
• The first hitting time of stochastic volatility models
• Tails of the first hitting times of linear diffusions
• Application of the first hitting time to price exotic options
• A characterization of the first hitting time of double integral processes to curved boundaries
• Laplace transform identities for diffusions, with applications to rebates and barrier options
• scientific article; zbMATH DE number 37986 (Why is no real title available?)
• Hitting time and time change
• The Laplace transform of hitting times of integrated geometric Brownian motion
• On the first hitting time density for a reducible diffusion process
• Density of generalized Verhulst process and Bessel process with constant drift
• Efficiency of institutional spending and investment rules
• Laplace transforms for the first hitting time of a Brownian motion
• Perpetual integral functionals of diffusions and their numerical computations
• scientific article; zbMATH DE number 5038530 (Why is no real title available?)
• Pricing discretely monitored Asian options under regime-switching and stochastic volatility models with jumps
• Recurrent first hitting times in Wiener diffusion under several observation schemes

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