Asymptotics for the survival probability of time-inhomogeneous diffusion processes

DOI10.1016/j.orl.2023.03.012zbMath1525.60100OpenAlexW4360603799MaRDI QIDQ6106542

Nian Yang, YiWei Wang

Publication date: 3 July 2023

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2023.03.012

zbMATH Keywords

survival probabilitynon-flat boundarytime-inhomogeneous diffusionsbinary barrier optionexplicit asymptotics

Mathematics Subject Classification ID

Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• Unnamed Item
• Mathematical methods for financial markets.
• Asymptotics of hitting probabilities for general one-dimensional pinned diffusions
• On boundary crossing probabilities for diffusion processes
• Crossing probabilities for diffusion processes with piecewise continuous boundaries
• American option valuation using first-passage densities
• Shapes of Implied Volatility with Positive Mass at Zero
• The survival probability of the SABR model: asymptotics and application
• Explicit asymptotics on first passage times of diffusion processes

This page was built for publication: Asymptotics for the survival probability of time-inhomogeneous diffusion processes