First Passage Times of Constant-Elasticity-of-Variance Processes with Two-Sided Reflecting Barriers

DOI10.1239/JAP/1354716661MaRDI QIDQ4903046zbMATH OpenOpenAlexFDO

Authors Chen Hao, Lijun Bo

Publication date 19 January 2013

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.jap/1354716661

zbMATH Keywords

CEV processfirst passage timereflecting barrier

Mathematics Subject Classification ID

Diffusion processes (60J60) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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Cites work

• scientific article; zbMATH DE number 48952 (Why is no real title available?)
• A survey and some generalizations of Bessel processes
• Distribution of occupation times for constant elasticity of variance diffusion and the pricing ofα-quantile options
• First passage times of (reflected) Ornstein-Uhlenbeck processes over random jump boundaries
• On the first passage times of reflected O-U processes with two-sided barriers
• Optimal Reflection of Diffusions and Barrier Options Pricing under Constraints
• Pathwise uniqueness of the squared Bessel and CIR processes with skew reflection on a deterministic time dependent curve
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Properties of the reflected Ornstein-Uhlenbeck process
• Some integral functionals of reflected SDEs and their applications in finance

Cited in

(9)

• On the first passage times of reflected O-U processes with two-sided barriers
• On the first hitting times to boundary of the reflected O-U process with two-sided barriers
• Properties of the first passage times of the reflected O-U process with a two-sided barrier
• On pricing barrier control in a regime-switching regulated market
• The first passage time and the dividend value function for one-dimensional diffusion processes between two reflecting barriers
• Constant elasticity of variance models with target zones
• Properties of the Cox-Ingersoll-Ross interest rate processes with two-sided reflections
• Lévy processes with two-sided reflection
• Problem of first passage time of a reflected stochastic volatility model

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