The first hitting time of stochastic volatility models

DOI10.3785/J.ISSN.1008-9497.2017.03.009zbMATH Open1389.60100MaRDI QIDQ3132376FDOQ3132376

Authors: Miao Zhang, Hui Liu, Feilong Zhang 

Publication date: 29 January 2018

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zbMATH Keywords

first-passage timesmartingale methodWhittaker's equationjoint Laplace transformsstochastic volatility CEV model

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Diffusion processes (60J60) Stochastic models in economics (91B70)

Cited In (3)

• On some functionals of the first passage times in models with switching stochastic volatility
• On some functionals of the first passage times in jump models of stochastic volatility
• Problem of first passage time of a reflected stochastic volatility model

Uses Software

• Matlab

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