Continuity theorems in boundary crossing problems for diffusion processes

DOI10.1007/978-3-642-03479-4_17MaRDI QIDQ3000888zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

boundary crossingbarrier optionsvanilla option

Mathematics Subject Classification ID

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

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(4)

• scientific article; zbMATH DE number 4000523 (Why is no real title available?)
• Some sequential boundary crossing results for geometric Brownian motion and their applications in financial engineering
• scientific article; zbMATH DE number 2062298 (Why is no real title available?)
• Boundary processes: the calculus of processes diffusing on the boundary

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