On first hitting times for skew CIR processes

DOI10.1007/s11009-014-9406-7zbMath1337.60132OpenAlexW2088372022MaRDI QIDQ267888

Guangli Xu, Shiyu Song, Yong Jin Wang

Publication date: 12 April 2016

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-014-9406-7

zbMATH Keywords

stochastic differential equationfirst hitting timesskew CIR processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (3)

A simple trinomial lattice approach for the skew-extended CIR models ⋮ On the transition density and first hitting time distributions of the doubly skewed CIR process ⋮ A Markov chain approximation scheme for option pricing under skew diffusions

Cites Work

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