A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary
type: Item
instance of: scholarly article
title: A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary
zbMATH Open document ID: 0944.60027
author: O. Renault
author: Boris Leblanc
author: Olivier Scaillet
published in: Finance and Stochastics
publication date: 2000-05-24T00:00:00Z
full work available at URL: unige:41811
review text: The derivation of the hitting time density of an Ornstein-Uhlenbeck process to a flat boundary is provided. The derivation relies on a change of measure approach and delivers an explicit formula. This formula is an amended expression of the result given by \textit{B. Leblanc} and \textit{O. Scaillet} [Finance Stoch. 2, No. 4, 349-367 (1998; Zbl 0913.60005)]. It corresponds to the formula given by a time substitution approach when the boundary level coincides with the mean of the invariant measure. It can for example be used to price digital up-and-in credit spread options when the logarithm of the credit spread is assumed to follow an Ornstein-Uhlenbeck process.
Mathematics Subject Classification ID: 60E10
Mathematics Subject Classification ID: 60G17
Mathematics Subject Classification ID: 60J70
Mathematics Subject Classification ID: 65C50
zbMATH DE Number: 1452418
zbMATH Keywords: hitting time
zbMATH Keywords: Ornstein-Uhlenbeck process
zbMATH Keywords: path dependent option
MaRDI profile type: Publication
OpenAlex ID: W2009803015
DOI: 10.1007/S007800050007
description: scientific article; zbMATH DE number 1452418