Journal of the Korean Data and Information Science Society
- Volume 15 Issue 4
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- Pages.879-889
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- 2004
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- 1598-9402(pISSN)
The First Passage Time of Stock Price under Stochastic Volatility
- Nguyen, Andrew Loc (Department of mathematics, Calofornia State University Of Fullerton)
- Published : 2004.11.30
Abstract
This paper gives an approximation to the distribution function of the .rst passage time of stock price when volatility of stock price is modeled by a function of Ornstein-Uhlenbeck process. It also shows how to obtain the error of the approximation.