IDEAS home Printed from https://ideas.repec.org/a/spr/metcap/v23y2021i3d10.1007_s11009-020-09775-0.html
   My bibliography  Save this article

On the Transition Density and First Hitting Time Distributions of the Doubly Skewed CIR Process

Author

Listed:
  • Guangli Xu

    (University of International Business and Economics)

  • Xingchun Wang

    (University of International Business and Economics)

Abstract

In this paper, we study doubly skewed CIR processes, which are extensions of skew Brownian motion. We use modified spectral expansion to obtain some properties, including the transition densities and first hitting time distributions, of doubly skewed CIR processes.

Suggested Citation

  • Guangli Xu & Xingchun Wang, 2021. "On the Transition Density and First Hitting Time Distributions of the Doubly Skewed CIR Process," Methodology and Computing in Applied Probability, Springer, vol. 23(3), pages 735-752, September.
    • Handle: RePEc:spr:metcap:v:23:y:2021:i:3:d:10.1007_s11009-020-09775-0
    DOI: 10.1007/s11009-020-09775-0
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s11009-020-09775-0
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s11009-020-09775-0?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Chuancun Yin & Huiqing Wang, 2012. "The First Passage Time and the Dividend Value Function for One-Dimensional Diffusion Processes between Two Reflecting Barriers," International Journal of Stochastic Analysis, Hindawi, vol. 2012, pages 1-15, October.
    2. Trutnau, Gerald, 2011. "Pathwise uniqueness of the squared Bessel and CIR processes with skew reflection on a deterministic time dependent curve," Stochastic Processes and their Applications, Elsevier, vol. 121(8), pages 1845-1863, August.
    3. Alexander Gairat & Vadim Shcherbakov, 2017. "Density Of Skew Brownian Motion And Its Functionals With Application In Finance," Mathematical Finance, Wiley Blackwell, vol. 27(4), pages 1069-1088, October.
    4. Shiyu Song & Yongjin Wang, 2017. "Pricing double barrier options under a volatility regime-switching model with psychological barriers," Review of Derivatives Research, Springer, vol. 20(3), pages 255-280, October.
    5. Trutnau, Gerald, 2010. "Weak existence of the squared Bessel and CIR processes with skew reflection on a deterministic time-dependent curve," Stochastic Processes and their Applications, Elsevier, vol. 120(4), pages 381-402, April.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Shantanu Awasthi & Indranil SenGupta, 2020. "First exit-time analysis for an approximate Barndorff-Nielsen and Shephard model with stationary self-decomposable variance process," Papers 2006.07167, arXiv.org, revised Jan 2021.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Shiyu Song & Guangli Xu & Yongjin Wang, 2016. "On First Hitting Times for Skew CIR Processes," Methodology and Computing in Applied Probability, Springer, vol. 18(1), pages 169-180, March.
    2. Li, Dan & Liu, Lixin & Xu, Guangli, 2023. "Psychological barriers and option pricing in a local volatility model," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    3. Étoré, Pierre & Martinez, Miguel, 2018. "Time inhomogeneous Stochastic Differential Equations involving the local time of the unknown process, and associated parabolic operators," Stochastic Processes and their Applications, Elsevier, vol. 128(8), pages 2642-2687.
    4. Tian, Yingxu & Zhang, Haoyan, 2018. "Skew CIR process, conditional characteristic function, moments and bond pricing," Applied Mathematics and Computation, Elsevier, vol. 329(C), pages 230-238.
    5. Xu, Guangli & Wang, Yongjin, 2016. "On stability of the Markov-modulated skew CIR process," Statistics & Probability Letters, Elsevier, vol. 109(C), pages 139-144.
    6. Guangli Xu & Shiyu Song & Yongjin Wang, 2016. "The Valuation Of Options On Foreign Exchange Rate In A Target Zone," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(03), pages 1-19, May.
    7. Che Guo & Xingchun Wang, 2022. "Pricing vulnerable options under correlated skew Brownian motions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(5), pages 852-867, May.
    8. Paolo Pigato, 2019. "Extreme at-the-money skew in a local volatility model," Finance and Stochastics, Springer, vol. 23(4), pages 827-859, October.
    9. Akahori, Jirô & Fan, Jie Yen & Imamura, Yuri, 2023. "On the convergence order of a binary tree approximation of symmetrized diffusion processes," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 211(C), pages 263-277.
    10. Yizhou Bai & Zhiyu Guo, 2019. "An Empirical Investigation to the “Skew” Phenomenon in Stock Index Markets: Evidence from the Nikkei 225 and Others," Sustainability, MDPI, vol. 11(24), pages 1-17, December.
    11. Alexander Gairat & Vadim Shcherbakov, 2023. "Extreme ATM skew in a local volatility model with discontinuity: joint density approach," Papers 2305.10849, arXiv.org, revised May 2023.
    12. Pasricha, Puneet & He, Xin-Jiang, 2022. "Skew-Brownian motion and pricing European exchange options," International Review of Financial Analysis, Elsevier, vol. 82(C).
    13. Endre Csáki & Miklós Csörgő & Antónia Földes & Pál Révész, 2019. "Limit Theorems for Local and Occupation Times of Random Walks and Brownian Motion on a Spider," Journal of Theoretical Probability, Springer, vol. 32(1), pages 330-352, March.
    14. Kolb, Aaron M., 2019. "Strategic real options," Journal of Economic Theory, Elsevier, vol. 183(C), pages 344-383.
    15. Gairat, Alexander & Shcherbakov, Vadim, 2022. "Skew Brownian motion with dry friction: Joint density approach," Statistics & Probability Letters, Elsevier, vol. 187(C).
    16. Trutnau, Gerald, 2011. "Pathwise uniqueness of the squared Bessel and CIR processes with skew reflection on a deterministic time dependent curve," Stochastic Processes and their Applications, Elsevier, vol. 121(8), pages 1845-1863, August.
    17. Lou, Shuwen, 2023. "On transition density functions of skew Brownian motions with two-valued drift," Statistics & Probability Letters, Elsevier, vol. 193(C).

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:metcap:v:23:y:2021:i:3:d:10.1007_s11009-020-09775-0. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.