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December 2012 First passage times of constant-elasticity-of-variance processes with two-sided reflecting barriers
Lijun Bo, Chen Hao
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J. Appl. Probab. 49(4): 1119-1133 (December 2012). DOI: 10.1239/jap/1354716661

Abstract

In this paper we explore the first passage times of constant-elasticity-of-variance (CEV) processes with two-sided reflecting barriers. The explicit Laplace transforms of the first passage times are derived. Our results can include analytic formulae concerning Laplace transforms of first passage times of reflected Ornstein--Uhlenbeck processes, reflected geometric Brownian motions, and reflected square-root processes.

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Lijun Bo. Chen Hao. "First passage times of constant-elasticity-of-variance processes with two-sided reflecting barriers." J. Appl. Probab. 49 (4) 1119 - 1133, December 2012. https://doi.org/10.1239/jap/1354716661

Information

Published: December 2012
First available in Project Euclid: 5 December 2012

zbMATH: 1260.60158
MathSciNet: MR3058992
Digital Object Identifier: 10.1239/jap/1354716661

Subjects:
Primary: 60J60
Secondary: 60K10

Keywords: CEV process , First passage time , reflecting barrier

Rights: Copyright © 2012 Applied Probability Trust

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Vol.49 • No. 4 • December 2012
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