On the first hitting time density for a reducible diffusion process

DOI10.1080/14697688.2020.1713394zbMath1466.91344OpenAlexW3007785493MaRDI QIDQ4991054

Vadim Kaushansky, Alexander Lipton-Lifschitz

Publication date: 2 June 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1713394

zbMATH Keywords

Ornstein-Uhlenbeck processAbel integral equationVolterra integral equationpairs tradingfirst hitting time densityCherkasov conditionmethod of heat potentials

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Volterra integral equations (45D05) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Credit risk (91G40)

Related Items

Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit, Multilayer heat equations: application to finance, OLD PROBLEMS, CLASSICAL METHODS, NEW SOLUTIONS, Multiple barrier-crossings of an Ornstein-Uhlenbeck diffusion in consecutive periods, A CLOSED-FORM SOLUTION FOR OPTIMAL ORNSTEIN–UHLENBECK DRIVEN TRADING STRATEGIES, Statistics of the first passage area functional for an Ornstein–Uhlenbeck process

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Cites Work

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