This paper determines first passage time distributions with a two-fold emphasis. The focus is first set on interest rate randomness. It derives a closed-form solution in the case of moving boundaries, indexed on risk-free bonds, and where interest rates obey mean-reverting processes and...

This paper determines first-passage time distributions with a twofold emphasis on the dynamics of the state variables and interest rate uncertainty. Underlyings follow two-dimensional geometric Brownian motions, Ornstein-Uhlenbeck processes or Poisson jump-diffusion processes, and boundaries are...