The first hitting time of stochastic volatility models

DOI10.3785/J.ISSN.1008-9497.2017.03.009MaRDI QIDQ3132376zbMATH OpenFDO

Authors Miao Zhang, Hui Liu, Feilong Zhang

Publication date 29 January 2018

Full work available at URL https://doi.org/10.3785/J.ISSN.1008-9497.2017.03.009

zbMATH Keywords

first-passage timesjoint Laplace transformsmartingale methodstochastic volatility CEV modelWhittaker's equation

Mathematics Subject Classification ID

Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Stochastic models in economics (91B70)

Recommendations

• Problem of first passage time of a reflected stochastic volatility model
• On some functionals of the first passage times in jump models of stochastic volatility
• On some functionals of the first passage times in models with switching stochastic volatility
• First hitting time of integral diffusions and applications
• On first hitting times for skew CIR processes

Cited in

(3)

• On some functionals of the first passage times in models with switching stochastic volatility
• Problem of first passage time of a reflected stochastic volatility model
• On some functionals of the first passage times in jump models of stochastic volatility

Describes a project that uses

Uses Software

• Matlab

This page was built for publication: The first hitting time of stochastic volatility models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3132376)