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The Hitting Time Density for a Reflected Brownian Motion

Author

Listed:
  • Qin Hu
  • Yongjin Wang
  • Xuewei Yang

    ()

Abstract

No abstract is available for this item.

Suggested Citation

  • Qin Hu & Yongjin Wang & Xuewei Yang, 2012. "The Hitting Time Density for a Reflected Brownian Motion," Computational Economics, Springer;Society for Computational Economics, vol. 40(1), pages 1-18, June.
  • Handle: RePEc:kap:compec:v:40:y:2012:i:1:p:1-18
    DOI: 10.1007/s10614-011-9264-0
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    References listed on IDEAS

    as
    1. 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.
    2. Dirk Veestraeten, 2004. "The Conditional Probability Density Function for a Reflected Brownian Motion," Computational Economics, Springer;Society for Computational Economics, vol. 24(2), pages 185-207, September.
    3. 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 351-367, May.
    4. Vadim Linetsky, 2004. "Lookback options and diffusion hitting times: A spectral expansion approach," Finance and Stochastics, Springer, vol. 8(3), pages 373-398, August.
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