First Passage Times of Constant-Elasticity-of-Variance Processes with Two-Sided Reflecting Barriers

DOI10.1239/jap/1354716661zbMath1260.60158OpenAlexW2033373265MaRDI QIDQ4903046

Chen Hao, Li Jun Bo

Publication date: 19 January 2013

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1354716661

zbMATH Keywords

first passage timeCEV processreflecting barrier

Mathematics Subject Classification ID

Diffusion processes (60J60) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (3)

Constant elasticity of variance models with target zones ⋮ Lévy Processes with Two-Sided Reflection ⋮ On pricing barrier control in a regime-switching regulated market

Cites Work

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• Pathwise uniqueness of the squared Bessel and CIR processes with skew reflection on a deterministic time dependent curve
• On the first passage times of reflected O-U processes with two-sided barriers
• A survey and some generalizations of Bessel processes
• Properties of the reflected Ornstein-Uhlenbeck process
• First Passage Times of (Reflected) Ornstein-Uhlenbeck Processes Over Random Jump Boundaries
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Some integral functionals of reflected SDEs and their applications in finance
• Distribution of occupation times for constant elasticity of variance diffusion and the pricing ofα-quantile options
• Optimal Reflection of Diffusions and Barrier Options Pricing under Constraints

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