Skew Ornstein-Uhlenbeck processes and their financial applications
From MaRDI portal
Publication:2510020
DOI10.1016/j.cam.2014.06.023zbMath1304.60046OpenAlexW2045212949MaRDI QIDQ2510020
Suxin Wang, Shiyu Song, Yong Jin Wang
Publication date: 31 July 2014
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2014.06.023
Laplace transformspectral expansiontransition densitiesfirst hitting timeskew Ornstein-Uhlenbeck processes
Related Items
EFFICIENT PIECEWISE TREES FOR THE GENERALIZED SKEW VASICEK MODEL WITH DISCONTINUOUS DRIFT ⋮ Upper semicontinuity of pullback attractors for a nonautonomous damped wave equation ⋮ Uniform random attractors for a non-autonomous stochastic strongly damped wave equation on \(\mathbb{R}^{\mathbb{N}}\) ⋮ Parameter estimation for threshold Ornstein-Uhlenbeck processes from discrete observations ⋮ Computing probabilistic solutions of the Bernoulli random differential equation ⋮ Exact solutions of the two-side exit time problems for the Vasicek model ⋮ Parameter estimation for the skew Ornstein-Uhlenbeck processes based on discrete observations ⋮ Some properties of doubly skewed CIR processes ⋮ Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model ⋮ On stability of the Markov-modulated skew CIR process ⋮ An exponential timestepping algorithm for diffusion with discontinuous coefficients ⋮ Analytic Expressions of the Solutions of Advection-Diffusion Problems in One Dimension with Discontinuous Coefficients ⋮ THE VALUATION OF OPTIONS ON FOREIGN EXCHANGE RATE IN A TARGET ZONE ⋮ Skew CIR process, conditional characteristic function, moments and bond pricing ⋮ A Markov chain approximation scheme for option pricing under skew diffusions ⋮ Random attractors for non-autonomous stochastic wave equations with nonlinear damping and white noise ⋮ First hitting times for doubly skewed Ornstein-Uhlenbeck processes
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On the reflected Ornstein-Uhlenbeck process with catastrophes
- On symmetric and skew Bessel processes
- Pathwise uniqueness of the squared Bessel and CIR processes with skew reflection on a deterministic time dependent curve
- On the first passage times of reflected O-U processes with two-sided barriers
- Weak existence of the squared Bessel and CIR processes with skew reflection on a deterministic time-dependent curve
- On the constructions of the skew Brownian motion
- Exponential moments for hitting times of uniformly ergodic Markov processes
- On skew Brownian motion
- The spectral decomposition of a diffusion hitting time
- On the small time behavior of Ornstein-Uhlenbeck processes with unbounded linear drifts
- Properties of the reflected Ornstein-Uhlenbeck process
- Comparison of sequence accelerators for the Gaver method of numerical Laplace transform inversion
- A clarification note about hitting times densities for Ornstein-Uhlenbeck processes
- Lookback options and diffusion hitting times: a spectral expansion approach
- Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes
- Asymmetric skew Bessel processes and their applications to finance
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
- On the conditional default probability in a regulated market: a structural approach
- On the first passage time distribution of an Ornstein–Uhlenbeck process
- Elementary Solutions for Certain Parabolic Partial Differential Equations
- Strong Markov Continuous Local Martingales and Solutions of One-Dimensional Stochastic Differential Equations (Part III)
- SELF EXCITING THRESHOLD INTEREST RATES MODELS
- On Stochastic Differential Equations with Reflecting Barriers
- Stochastic differential equations with reflecting boundary conditions
- First-passage-time density and moments of the ornstein-uhlenbeck process
- Skew brownian motion and a one dimensional stochastic differential equation
- Sharp Large Deviations for the Ornstein--Uhlenbeck Process
- Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
- Term Structures of Credit Spreads with Incomplete Accounting Information
- THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
- Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
- Pricing Interest-Rate-Derivative Securities
- The Confluent Hypergeometric Function
- On the transition densities for reflected diffusions
- Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process1
