On the first passage time distribution of an Ornstein–Uhlenbeck process
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Publication:2994837
DOI10.1080/14697680903373684zbMath1221.60114OpenAlexW2069176303MaRDI QIDQ2994837
Publication date: 29 April 2011
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680903373684
Ornstein-Uhlenbeck processfirst passage timereflection principleprobability of defaultFortet's lemma
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Cites Work
- Valuation of default-sensitive claims under imperfect information
- Path dependent options on yields in the affine term structure model
- A clarification note about hitting times densities for Ornstein-Uhlenbeck processes
- A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary
- Cut-off and hitting times of a sample of Ornstein-Uhlenbeck processes and its average
- Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process1
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