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On First Hitting Times for Skew CIR Processes

Author

Listed:
  • Shiyu Song

    (Nankai University)

  • Guangli Xu

    (Nankai University)

  • Yongjin Wang

    (Nankai University)

Abstract

In this work, the first hitting times for skew CIR processes are investigated. We compute the Laplace transforms and the means of the first hitting times of some given levels. The solutions for Laplace transforms are in terms of Tricomi and Kummer confluent hypergeometric functions. We also exhibit the hitting time densities numerically at the end of this paper.

Suggested Citation

  • Shiyu Song & Guangli Xu & Yongjin Wang, 2016. "On First Hitting Times for Skew CIR Processes," Methodology and Computing in Applied Probability, Springer, vol. 18(1), pages 169-180, March.
    • Handle: RePEc:spr:metcap:v:18:y:2016:i:1:d:10.1007_s11009-014-9406-7
    DOI: 10.1007/s11009-014-9406-7
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    References listed on IDEAS

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    1. Trutnau, Gerald, 2011. "Pathwise uniqueness of the squared Bessel and CIR processes with skew reflection on a deterministic time dependent curve," Stochastic Processes and their Applications, Elsevier, vol. 121(8), pages 1845-1863, August.
    2. Trutnau, Gerald, 2010. "Weak existence of the squared Bessel and CIR processes with skew reflection on a deterministic time-dependent curve," Stochastic Processes and their Applications, Elsevier, vol. 120(4), pages 381-402, April.
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    Cited by:

    1. Yizhou Bai & Yongjin Wang & Haoyan Zhang & Xiaoyang Zhuo, 2022. "Bayesian Estimation of the Skew Ornstein-Uhlenbeck Process," Computational Economics, Springer;Society for Computational Economics, vol. 60(2), pages 479-527, August.
    2. Di Nardo, Elvira & D'Onofrio, Giuseppe & Martini, Tommaso, 2024. "Orthogonal gamma-based expansion for the CIR's first passage time distribution," Applied Mathematics and Computation, Elsevier, vol. 480(C).
    3. Guangli Xu & Shiyu Song & Yongjin Wang, 2016. "The Valuation Of Options On Foreign Exchange Rate In A Target Zone," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(03), pages 1-19, May.

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    Keywords

    Skew CIR process; First hitting times;

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