Continuity theorems in boundary crossing problems for diffusion processes

DOI10.1007/978-3-642-03479-4_17zbMATH Open1223.91036OpenAlexW2160468206MaRDI QIDQ3000888FDOQ3000888

Authors: Andrew N. Downes, K. Borovkov, A. Novikov 

Publication date: 31 May 2011

Published in: Contemporary Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-03479-4_17

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zbMATH Keywords

boundary crossingbarrier optionsvanilla option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Diffusion processes (60J60)

Cited In (4)

• Title not available (Why is that?)
• Some sequential boundary crossing results for geometric Brownian motion and their applications in financial engineering
• Title not available (Why is that?)
• Boundary processes: the calculus of processes diffusing on the boundary

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