First passage times of constantelasticity-of-variance processes with two-sided reflecting barriers

Abstract

In this paper we explore the first passage times of constant-elasticity-of- variance (CEV) processes with two-sided reflecting barriers. The explicit Laplace transforms of the first passage times are derived. Our results can include analytic formulae concerning Laplace transforms of first passage times of reflected Ornstein-Uhlenbeck processes, reflected geometric Brownian motions, and reflected square-root processes. © Applied Probability Trust 2012.