On the first passage time distribution of an Ornstein–Uhlenbeck process

DOI10.1080/14697680903373684zbMath1221.60114OpenAlexW2069176303MaRDI QIDQ2994837

Chuang Yi

Publication date: 29 April 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903373684

zbMATH Keywords

Ornstein-Uhlenbeck processfirst passage timereflection principleprobability of defaultFortet's lemma

Mathematics Subject Classification ID

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Cites Work

• Valuation of default-sensitive claims under imperfect information
• Path dependent options on yields in the affine term structure model
• A clarification note about hitting times densities for Ornstein-Uhlenbeck processes
• A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary
• Cut-off and hitting times of a sample of Ornstein-Uhlenbeck processes and its average
• Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process¹

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