First Passage Times of Constant-Elasticity-of-Variance Processes with Two-Sided Reflecting Barriers

Abstract

In this paper we explore the first passage times of constant-elasticity-of-variance (CEV) processes with two-sided reflecting barriers. The explicit Laplace transforms of the first passage times are derived. Our results can include analytic formulae concerning Laplace transforms of first passage times of reflected Ornstein–Uhlenbeck processes, reflected geometric Brownian motions, and reflected square-root processes.