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On the first passage time distribution of an Ornstein-Uhlenbeck process

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  • Chuang Yi

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  • 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.
    • Handle: RePEc:taf:quantf:v:10:y:2010:i:9:p:957-960
    DOI: 10.1080/14697680903373684
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    References listed on IDEAS

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    1. O. Renault & O. Scaillet & B. Leblanc, 2000. "A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary," Finance and Stochastics, Springer, vol. 4(1), pages 109-111.
    2. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
    3. Black, Fischer & Cox, John C, 1976. "Valuing Corporate Securities: Some Effects of Bond Indenture Provisions," Journal of Finance, American Finance Association, vol. 31(2), pages 351-367, May.
    4. repec:dau:papers:123456789/2191 is not listed on IDEAS
    5. Délia Coculescu, 2006. "Valuation of default sensitive claims under imperfect information," Post-Print halshs-00163334, HAL.
    6. Pierre Collin‐Dufresne & Robert S. Goldstein, 2001. "Do Credit Spreads Reflect Stationary Leverage Ratios?," Journal of Finance, American Finance Association, vol. 56(5), pages 1929-1957, October.
    7. 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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    Cited by:

    1. Gzyl, Henryk & ter Horst, Enrique & Villasana, Minaya, 2015. "Numerical determination of hitting time distributions from their Laplace transforms: One dimensional diffusions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 594-602.
    2. Alexander Lipton & Vadim Kaushansky, 2018. "On the First Hitting Time Density of an Ornstein-Uhlenbeck Process," Papers 1810.02390, arXiv.org, revised Oct 2018.
    3. Andrea Giuseppe Di Iura & Giulia Terenzi, 2021. "A Bayesian analysis of gain-loss asymmetry," Papers 2104.06044, arXiv.org.
    4. Lingfei Li & Vadim Linetsky, 2015. "Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach," Finance and Stochastics, Springer, vol. 19(4), pages 941-977, October.
    5. Xing, Xiaoyu & Xing, Yongsheng & Yang, Xuewei, 2012. "A note on transition density for the reflected Ornstein–Uhlenbeck process," Statistics & Probability Letters, Elsevier, vol. 82(3), pages 586-591.
    6. Andrea Di Iura & Giulia Terenzi, 2022. "A Bayesian analysis of gain-loss asymmetry," SN Business & Economics, Springer, vol. 2(5), pages 1-23, May.
    7. Guglielmo D'Amico & Filippo Petroni, 2020. "A micro-to-macro approach to returns, volumes and waiting times," Papers 2007.06262, arXiv.org.

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