Abstract

http://ssrn.com/abstract=1007155
 
 

References (10)



 
 

Citations (3)



 


 



Computing the First Passage Time Density of a Time-Dependent Urnstein-Uhlenbeck Process to a Moving Boundary


Chi-Fai Lo


The Chinese University of Hong Kong

C. H. Hui


Hong Kong Monetary Authority - Research Department


Applied Mathematics Letters, Vol. 19, pp. 1399-1405, 2006

Abstract:     
In this paper we use the method of images to derive the closed-form formula for the first passage time density of a timed-dependent Ornstein-Uhlenbeck process to a parametric class of moving boundaries. The results are then applied to develop a simple, efficient and systematic approximation scheme to compute tight upper and lower bounds of the first passage time density through a fixed boundary.

Number of Pages in PDF File: 7

Keywords: Ornstein-Uhlenbeck process, Fokker-Planck equation, First passage time density, Method of images, Moving boundary

JEL Classification: C60, G13

Accepted Paper Series





Download This Paper

Date posted: August 27, 2007  

Suggested Citation

Lo, Chi-Fai and Hui, C. H., Computing the First Passage Time Density of a Time-Dependent Urnstein-Uhlenbeck Process to a Moving Boundary. Applied Mathematics Letters, Vol. 19, pp. 1399-1405, 2006. Available at SSRN: http://ssrn.com/abstract=1007155

Contact Information

Chi-Fai Lo (Contact Author)
The Chinese University of Hong Kong ( email )
Department of Physics
Shatin, N.T., Hong Kong
China
Cho-Hoi Hui
Hong Kong Monetary Authority - Research Department ( email )
Hong Kong
China
Feedback to SSRN


Paper statistics
Abstract Views: 963
Downloads: 301
Download Rank: 57,754
References:  10
Citations:  3

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo1 in 0.312 seconds