Author's profile

Bo Zhao
Cass Business School

Background

Author articles

  • Inhomogeneous geometric Brownian motions
    Finance
    Banking

    In this paper, we study analytical and probability aspects of inhomogeneous geometric Brownian motion. Perpetual American put options and perpetual American call options when the underlying asset is characterized by an IGBM process are investigated.

    27/10/2011 | 1,089
  • Mean first passage times of four mean-reverting processes
    Finance
    Banking

    In this paper, we study stationary states and mean first passage times (MFPT) of four well-known mean reverting processes: the square root process of Feller, the Ahn-Gao model, the GARCH diffusion model and the stochastic Verhulst process.

    27/10/2011 | 989