ON SOME FUNCTIONALS OF THE FIRST PASSAGE TIMES IN MODELS WITH SWITCHING STOCHASTIC VOLATILITY

DOI10.1142/S0219024918500012zbMath1395.91442OpenAlexW2782678395MaRDI QIDQ4608109

Pavel V. Gapeev, O.Brockhaus, Mathieu S. Dubois

Publication date: 15 March 2018

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024918500012

zbMATH Keywords

stochastic volatilityboundary value problemscontinuous-time Markov chainsfirst exit timesgeneralized Laplace transformselliptic-type partial differential equationsmean-reverting and diverting propertytwo-dimensional diffusion-type processes

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

On some functionals of the first passage times in jump models of stochastic volatility

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