On First Hitting Times for Skew CIR Processes

Shiyu Song (), Guangli Xu () and Yongjin Wang ()
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Shiyu Song: Nankai University
Guangli Xu: Nankai University
Yongjin Wang: Nankai University

Methodology and Computing in Applied Probability, 2016, vol. 18, issue 1, 169-180

Abstract: Abstract In this work, the first hitting times for skew CIR processes are investigated. We compute the Laplace transforms and the means of the first hitting times of some given levels. The solutions for Laplace transforms are in terms of Tricomi and Kummer confluent hypergeometric functions. We also exhibit the hitting time densities numerically at the end of this paper.

Keywords: Skew CIR process; First hitting times; 60H35 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s11009-014-9406-7

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