Exact solutions of the two-side exit time problems for the Vasicek model

DOI10.1080/03610926.2021.1901921OpenAlexW3158166099MaRDI QIDQ5057339

Fangling Wu, Jing-Min He

Publication date: 16 December 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2021.1901921

zbMATH Keywords

martingaleexit timestrong Markov propertyVasicek modelthe Laplace-Stieltjes transform

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Unnamed Item
• Parameter estimation and bias correction for diffusion processes
• Optimal consumption-investment strategy under the vasicek model: HARA utility and Legendre transform
• Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model
• Valuation of portfolio credit derivatives with default intensities using the Vasicek model
• Three ways to solve for bond prices in the Vasiček model
• Vasicek model with mixed-exponential jumps and its applications in finance and insurance
• Exit problem for Ornstein-Uhlenbeck processes: a random walk approach
• First hitting times for doubly skewed Ornstein-Uhlenbeck processes
• The first passage time density of Ornstein-Uhlenbeck process with continuous and impulsive excitations
• Skew Ornstein-Uhlenbeck processes and their financial applications
• On the first passage time distribution of an Ornstein–Uhlenbeck process
• Long- and short-time asymptotics of the first-passage time of the Ornstein–Uhlenbeck and other mean-reverting processes
• Sticky reflecting Ornstein-Uhlenbeck diffusions and the Vasicek interest rate model with the sticky zero lower bound
• An equilibrium characterization of the term structure
• Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process¹