Problem of first passage time of a reflected stochastic volatility model

DOI10.13413/J.CNKI.JDXBLXB.2017.04.19MaRDI QIDQ4640537zbMATH OpenFDO

Authors Tong Qing Li

Publication date 25 May 2018

Full work available at URL https://doi.org/10.13413/J.CNKI.JDXBLXB.2017.04.19

zbMATH Keywords

confluent hypergeometric functionfirst-passage timereflected processstochastic volatility model

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(1)

• The first hitting time of stochastic volatility models

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