Constant elasticity of variance models with target zones

DOI10.1016/j.physa.2019.122702OpenAlexW2973915918WikidataQ127228737 ScholiaQ127228737MaRDI QIDQ2164570

Pingping Jiang, Liming Feng, Yong Jin Wang

Publication date: 15 August 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2019.122702

zbMATH Keywords

spectral expansiontransition densityWhittaker functiontarget zonereflected CEV process

Mathematics Subject Classification ID

Diffusion processes (60J60) Local time and additive functionals (60J55) Statistical mechanics, structure of matter (82-XX)

Related Items (1)

Arbitrage problems with reflected geometric Brownian motion

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A time series model for an exchange rate in a target zone with applications
• A survey and some generalizations of Bessel processes
• A diffusion approximation for a Markovian queue with reneging
• DERIVATIVE PRICING BASED ON THE EXCHANGE RATE IN A TARGET ZONE WITH REALIGNMENT
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Stochastic Devaluation Risk and the Empirical Fit of Target-Zone Models
• Elementary Solutions for Certain Parabolic Partial Differential Equations
• The Differential Equations of Birth-and-Death Processes, and the Stieltjes Moment Problem
• Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
• Strong Solutions of Stochastic Differential Equations with Boundary Conditions
• First Passage Times of Constant-Elasticity-of-Variance Processes with Two-Sided Reflecting Barriers
• On the transition densities for reflected diffusions

This page was built for publication: Constant elasticity of variance models with target zones