Exercise 16.4 In the BlackCox model, show that the density function of is given by where
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Exercise 16.4 In the Black–Cox model, show that the density function of τ
is given by
where K
Noting that the integrand is the density function of the first passage time to the boundary K when the Brownian motion has the drift θσ2, show that
where z5 and z6 are defined below (16.8).
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Related Book For
Stochastic Processes With Applications To Finance
ISBN: 9781439884829
2nd Edition
Authors: Masaaki Kijima
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