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Some integral functionals of reflected SDEs and their applications in finance


  • Lijun Bo
  • Yongjin Wang
  • Xuewei Yang


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  • 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.
  • Handle: RePEc:taf:quantf:v:11:y:2010:i:3:p:343-348 DOI: 10.1080/14697681003785926

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    References listed on IDEAS

    1. L. Alili & A. E. Kyprianou, 2005. "Some remarks on first passage of Levy processes, the American put and pasting principles," Papers math/0508487,
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    Cited by:

    1. Yaozhong Hu & Chihoon Lee & Myung Lee & Jian Song, 2015. "Parameter estimation for reflected Ornstein–Uhlenbeck processes with discrete observations," Statistical Inference for Stochastic Processes, Springer, vol. 18(3), pages 279-291, October.
    2. Bo, Lijun & Yang, Xuewei, 2012. "Sequential maximum likelihood estimation for reflected generalized Ornstein–Uhlenbeck processes," Statistics & Probability Letters, Elsevier, vol. 82(7), pages 1374-1382.
    3. Yang Xuewei, 2013. "A new numerical scheme for a class of reflected stochastic differential equations," Monte Carlo Methods and Applications, De Gruyter, vol. 19(4), pages 273-279, December.
    4. 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.

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