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FIRST PASSAGE TIMES OF CONSTANT-ELASTICITY-OF-VARIANCE PROCESSES WITH TWO-SIDED REFLECTING BARRIERS

LIJUN BO and CHEN HAO
Journal of Applied Probability
Vol. 49, No. 4 (DECEMBER 2012), pp. 1119-1133
Stable URL: http://www.jstor.org/stable/41713832
Page Count: 15
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
FIRST PASSAGE TIMES OF CONSTANT-ELASTICITY-OF-VARIANCE PROCESSES WITH TWO-SIDED REFLECTING BARRIERS
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Abstract

In this paper we explore the first passage times of constant-elasticity-of-variance (CEV) processes with two-sided reflecting barriers. The explicit Laplace transforms of the first passage times are derived. Our results can include analytic formulae concerning Laplace transforms of first passage times of reflected Ornstein-Uhlenbeck processes, reflected geometric Brownian motions, and reflected square-root processes.

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