On some functionals of the first passage times in models with switching stochastic volatility

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074, Brockhaus, Olivier and Dubois, Mathieu (2018) On some functionals of the first passage times in models with switching stochastic volatility. International Journal of Theoretical and Applied Finance. ISSN 0219-0249

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Abstract

We compute some functionals related to the joint generalised Laplace transforms of the first times at which two-dimensional diffusion-type Markov processes exit half strips. It is assumed that the state space components are driven by constantly correlated Brow- nian motions and the dynamics of the coefficients are described by a continuous-time Markov chain. The method of proof is based on the solutions of the equivalent boundary- value problems for systems of elliptic-type partial differential equations for the associated value functions. The results are illustrated on several two-dimensional continuous mean- reverting or diverting models of switching stochastic volatility

Item Type:	Article
Official URL:	http://www.worldscientific.com/worldscinet/ijtaf
Additional Information:	© 2018 World Scientific Publishing Company
Divisions:	Mathematics
Subjects:	Q Science > QA Mathematics
Date Deposited:	09 Jan 2018 11:24
Last Modified:	01 Nov 2024 05:09
URI:	http://eprints.lse.ac.uk/id/eprint/86403

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