First hitting time of integral diffusions and applications

DOI10.1080/15326349.2017.1300920zbMATH Open1380.60073OpenAlexW2605143660MaRDI QIDQ3133494FDOQ3133494

Authors

Publication date 2 February 2018

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/15326349.2017.1300920

zbMATH Keywords

Laplace transformfirst hitting timeAsian optionsstochastic time changevolatility derivative

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Diffusion processes (60J60) Laplace transform (44A10) Martingales with continuous parameter (60G44)

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Cited in

(23)

• Hitting time and time change
• The Laplace transform of hitting times of integrated geometric Brownian motion
• The randomized first-hitting problem of continuously time-changed Brownian motion
• Laplace transforms for the first hitting time of a Brownian motion
• Pricing discretely monitored Asian options under regime-switching and stochastic volatility models with jumps
• Application of the first hitting time to price exotic options
• The first hitting time of stochastic volatility models
• Perpetual integral functionals of diffusions and their numerical computations
• Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
• On the expectation of normalized Brownian functionals up to first hitting times
• scientific article; zbMATH DE number 5038530 (Why is no real title available?)
• Efficiency of institutional spending and investment rules
• Fractionally integrated Gauss-Markov processes and applications
• Concentration of first hitting times under additive drift
• On asymptotic behavior of solutions of linear inhomogeneous stochastic differential equations with correlated inputs
• Laplace transform identities for diffusions, with applications to rebates and barrier options
• On the first hitting time density for a reducible diffusion process
• scientific article; zbMATH DE number 37986 (Why is no real title available?)
• Tails of the first hitting times of linear diffusions
• Recurrent first hitting times in Wiener diffusion under several observation schemes
• Density of generalized Verhulst process and Bessel process with constant drift
• A structure-preserving method for the distribution of the first hitting time to a moving boundary for some Gaussian processes
• A characterization of the first hitting time of double integral processes to curved boundaries

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