Boundary Conditions for Computing Densities in Hybrid Models via PDE Methods
9 Pages Posted: 5 Aug 2008
Date Written: July 31, 2008
Abstract
This paper addresses the problem of specifying boundary conditions for Fokker-Planck PDE for reflecting diffusions arising in finance. Main focus is the CIR model, but techniques presented are readily applicable to other models with reflecting boundaries.
Keywords: Fokker-Planck, boundary conditions, reflecting boundary, stochastic volatility
JEL Classification: C63, G13
Suggested Citation: Suggested Citation
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