Constant elasticity of variance models with target zones

DOI10.1016/J.PHYSA.2019.122702MaRDI QIDQ2164570zbMATH OpenOpenAlexWikidataFDO

Authors Liming Feng, P. Jiang, Yongjin Wang

Publication date 15 August 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2019.122702

zbMATH Keywords

reflected CEV processspectral expansiontarget zonetransition densityWhittaker function

Mathematics Subject Classification ID

Local time and additive functionals (60J55) Diffusion processes (60J60) Statistical mechanics, structure of matter (82-XX)

Cites work

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Cited in

(1)

• Arbitrage problems with reflected geometric Brownian motion

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