A result on the first-passage time of an Ornstein-Uhlenbeck process
Consider the first time an Ornstein-Uhlenbeck process starting from zero crosses a constant positive threshold. Assuming that the asymptotic mean is above the threshold, conditions on the asymptotic variance relative to the distance between the threshold and the asymptotic mean are given that ensures the finiteness of the positive Laplace transforms.
Volume (Year): 77 (2007)
Issue (Month): 18 (December)
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- John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005.
"A Theory Of The Term Structure Of Interest Rates,"
World Scientific Book Chapters,in: Theory Of Valuation, chapter 5, pages 129-164
World Scientific Publishing Co. Pte. Ltd..
- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
- 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. Full references (including those not matched with items on IDEAS)
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