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~subject:"Ornstein-Uhlenbeck process"
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Old problems, classical methods, new solutions
Lipton, Alexander
- In:
International journal of theoretical and applied finance
23
(
2020
)
4
,
pp. 1-37
Persistent link: https://www.econbiz.de/10012284595
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On the first
hitting
time
density for a reducible diffusion process
Lipton, Alexander
;
Kaushansky, Vadim
- In:
Quantitative finance
20
(
2020
)
5
,
pp. 723-743
Persistent link: https://www.econbiz.de/10012262616
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3
A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary
Renault, O.
;
Scaillet, O.
;
Leblanc, B.
- In:
Finance and Stochastics
4
(
2000
)
1
,
pp. 109-111
This paper provides the derivation of the
hitting
time
density of an Ornstein-Uhlenbeck process to a flat boundary. The …
Persistent link: https://www.econbiz.de/10005613462
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