The Hitting Time Density for a Reflected Brownian Motion
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Bibliographic InfoArticle provided by Society for Computational Economics in its journal Computational Economics.
Volume (Year): 40 (2012)
Issue (Month): 1 (June)
Reflected Brownian motion; Hitting time; Distribution function; Density function; Spectral representation; Bankrupt probability; defaultable bond;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Dirk Veestraeten, 2004. "The Conditional Probability Density Function for a Reflected Brownian Motion," Computational Economics, Society for Computational Economics, vol. 24(2), pages 185-207, 09.
- Vadim Linetsky, 2004. "Lookback options and diffusion hitting times: A spectral expansion approach," Finance and Stochastics, Springer, vol. 8(3), pages 373-398, 08.
- Lijun Bo & Yongjin Wang & Xuewei Yang, 2010. "Some integral functionals of reflected SDEs and their applications in finance," Quantitative Finance, Taylor & Francis Journals, vol. 11(3), pages 343-348.
- 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 351-67, May.
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