Computing the First Passage Time Density of a Time-Dependent Urnstein-Uhlenbeck Process to a Moving Boundary

In this paper we use the method of images to derive the closed-form formula for the first passage time density of a timed-dependent Ornstein-Uhlenbeck process to a parametric class of moving boundaries. The results are then applied to develop a simple, efficient and systematic approximation scheme to compute tight upper and lower bounds of the first passage time density through a fixed boundary

MoreLess

Year of publication:	[2007]
Authors:	Lo, Chi-Fai
Other Persons:	Hui, Cho-Hoi (contributor)
Publisher:	[2007]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Stochastischer Prozess \| Stochastic process \| Statistische Verteilung \| Statistical distribution \| Volatilität \| Volatility

Extent:	1 Online-Ressource (7 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Applied Mathematics Letters, Vol. 19, pp. 1399-1405, 2006
Classification:	C60 - Mathematical Methods and Programming. General ; G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012776286