IDEAS home Printed from https://ideas.repec.org/a/spr/metcap/v18y2016i1d10.1007_s11009-014-9406-7.html
   My bibliography  Save this article

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
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s11009-014-9406-7
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s11009-014-9406-7?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    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.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    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. 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.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Guangli Xu & Xingchun Wang, 2021. "On the Transition Density and First Hitting Time Distributions of the Doubly Skewed CIR Process," Methodology and Computing in Applied Probability, Springer, vol. 23(3), pages 735-752, September.
    2. Étoré, Pierre & Martinez, Miguel, 2018. "Time inhomogeneous Stochastic Differential Equations involving the local time of the unknown process, and associated parabolic operators," Stochastic Processes and their Applications, Elsevier, vol. 128(8), pages 2642-2687.
    3. Tian, Yingxu & Zhang, Haoyan, 2018. "Skew CIR process, conditional characteristic function, moments and bond pricing," Applied Mathematics and Computation, Elsevier, vol. 329(C), pages 230-238.
    4. Xu, Guangli & Wang, Yongjin, 2016. "On stability of the Markov-modulated skew CIR process," Statistics & Probability Letters, Elsevier, vol. 109(C), pages 139-144.
    5. 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.
    6. 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.

    More about this item

    Keywords

    Skew CIR process; First hitting times;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:metcap:v:18:y:2016:i:1:d:10.1007_s11009-014-9406-7. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.