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First Passage Moments

stilyo

Joined
12/17/09
Messages
1
Points
11
I am looking for closed-form expressions for expected hitting time, and hitting time variance, for a Geometric Brownian motion constrained between two boundaries. Any references to something viewable on the web, articles, or books? Thank you!
 
1) Take the log and transform it to a regular old brownian motion
2) Apply the Feynman-Kac formula
3) ???
4) Profit!
 
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