Asymptotics for the survival probability of time-inhomogeneous diffusion processes-Reference-Cited by-同舟云学术

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Asymptotics for the survival probability of time-inhomogeneous diffusion processes

Published:2023-05 Issue:3 Volume:51 Page:308-311
ISSN:0167-6377
Container-title:Operations Research Letters
language:en
Short-container-title:Operations Research Letters

Author:

Wang Yiwei^ORCID,Yang Nian^ORCID

Funder

Natural Science Foundation of Jiangsu Province

Fundamental Research Funds for the Central Universities

National Natural Science Foundation of China

Publisher

Elsevier BV

Subject

Applied Mathematics,Industrial and Manufacturing Engineering,Management Science and Operations Research,Software

Reference12 articles.

1. Asymptotics of hitting probabilities for general one-dimensional pinned diffusions;Baldi;Ann. Appl. Probab.,2002

2. On boundary crossing probabilities for diffusion processes;Borovkov;Stoch. Process. Appl.,2010

3. Explicit asymptotics on first passage times of diffusion processes;Dassios;Adv. Appl. Probab.,2020

4. Shapes of implied volatility with positive mass at zero;De Marco;SIAM J. Financ. Math.,2017

5. American option valuation using first-passage densities;Gutiérrez;Quant. Finance,2013

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