A note on transition density for the reflected Ornstein–Uhlenbeck process
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DOI: 10.1016/j.spl.2011.11.019
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References listed on IDEAS
- Lijun Bo & Dan Tang & Yongjin Wang & Xuewei Yang, 2011. "On the conditional default probability in a regulated market: a structural approach," Quantitative Finance, Taylor & Francis Journals, vol. 11(12), pages 1695-1702.
- Chuang Yi, 2010. "On the first passage time distribution of an Ornstein-Uhlenbeck process," Quantitative Finance, Taylor & Francis Journals, vol. 10(9), pages 957-960.
- Olivier Scaillet & Boris Leblanc, 1998. "Path dependent options on yields in the affine term structure model," Finance and Stochastics, Springer, vol. 2(4), pages 349-367.
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- Archil Gulisashvili, 2020. "Large deviation principles for stochastic volatility models with reflection and three faces of the Stein and Stein model," Papers 2006.15431, arXiv.org.
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Keywords
Reflected Ornstein–Uhlenbeck processes; Long-run level; Transition density; Closed-form;All these keywords.
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