First hitting time of integral diffusions and applications

DOI10.1080/15326349.2017.1300920MaRDI QIDQ3133494zbMATH OpenOpenAlexFDO

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)

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

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