A diffusion-type process with a given joint law for the terminal level and supremum at an independent exponential time

DOI10.1016/J.SPA.2011.07.009zbMATH Open1235.60107OpenAlexW2092791752MaRDI QIDQ645596FDOQ645596

Publication date: 10 November 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2011.07.009

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zbMATH Keywords

stochastic functional differential equations Skorokhod embeddings excursion theory barrier options one-dimensional diffusion processes

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80)

Cites Work

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Pricing and Hedging Path-Dependent Options Under the CEV Process
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Mimicking the one-dimensional marginal distributions of processes having an Ito differential
Mimicking an Itō process by a solution of a stochastic differential equation
A Guided Tour through Excursions
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Cited In (7)

Perpetual American options in diffusion-type models with running maxima and drawdowns
Weak uniqueness and density estimates for SDEs with coefficients depending on some path-functionals
Distribution of the integral of maximum processes and applications
On the drawdowns and drawups in diffusion-type models with running maxima and minima
Hitting times, occupation times, trivariate laws and the forward Kolmogorov equation for a one-dimensional diffusion with memory
Time homogeneous diffusion with drift and killing to meet a given marginal
Mimicking an Itō process by a solution of a stochastic differential equation

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