| 反射随机波动模型的首中时问题 |
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| 引用本文： | 李童庆. 反射随机波动模型的首中时问题[J]. 吉林大学学报(理学版), 2017, 55(4): 881-887 |
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| 作者姓名： | 李童庆 |
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| 作者单位： | 西安电子科技大学 数学与统计学院, 西安 710126 |
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| 摘 要： | 利用鞅方法研究一类带反射的随机波动模型与常弹性方差(CEV)模型的复合模型,用合流超几何函数表示出首中时和波动因子的一种期望,并讨论当模型的参数取某些特殊值时,其中一个合流超几何函数不存在时的情形.
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| 关 键 词： | 随机波动模型 合流超几何函数 首中时 反射过程 |
| 收稿时间： | 2016-06-07 |
Problem of First Passage Time of Reflected Stochastic Volatility Model |
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| LI Tongqing. Problem of First Passage Time of Reflected Stochastic Volatility Model[J]. Journal of Jilin University: Sci Ed, 2017, 55(4): 881-887 |
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| Authors: | LI Tongqing |
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| Affiliation: | School of Mathematics and Statistics, Xidian University, Xi’an 710126, China |
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| Abstract: | The author studied a class of composite model of stochastic volatility model with reflection and constant elastic variance (CEV) model by using martingale methods. The author used the confluent hypergeometric function to express a kind of expectation of first passage time and volatility, and discussed the case where one of the confluent hypergeometric functions did not exist when the parameters of the model took some special values. |
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| Keywords: | stochastic volatility model confluent hypergeometric function reflected process first passage time |
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