English, Article, Journal or magazine article edition: Asymptotic approximation of the hitting-time and evaluation of a risky bond. Ahmed Loulit

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Bookmark: http://trove.nla.gov.au/version/111078
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Asymptotic approximation of the hitting-time and evaluation of a risky bond.
Author
  • Ahmed Loulit
Physical Description
  • preprint
Notes
  • In this paper, we give an approximation for the density of the first–passage time through a boundary defined by smooth function S(t). The density is a solution of some Voltera integral and admits an expansion of the Neumann-type series, and the error term converges rapidly to zero. We examine the case of a non homogeneous-time Brownian diffusion which is related to the evaluation of many claims on financial asset. An application to the approximated valuation of risky bonds and options on the asset of levered firm is provided.
  • hitting-time, Brownian diffusion, levered firm.
  • RePEc:sol:wpaper:04-029
Language
  • English
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