A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary

DOI10.1007/S007800050007zbMath0944.60027OpenAlexW2009803015MaRDI QIDQ1979085

O. Renault, Boris Leblanc, Olivier Scaillet

Publication date: 24 May 2000

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://archive-ouverte.unige.ch/unige:41811

zbMATH Keywords

Ornstein-Uhlenbeck processhitting timepath dependent option

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Sample path properties (60G17) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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