Some sequential boundary crossing results for geometric Brownian motion and their applications in financial engineering
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Publication:420141
DOI10.5402/2011/120253zbMATH Open1241.60018OpenAlexW2057290022WikidataQ58688690 ScholiaQ58688690MaRDI QIDQ420141FDOQ420141
Publication date: 21 May 2012
Published in: ISRN Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.5402/2011/120253
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Cites Work
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- Martingales and stochastic integrals in the theory of continuous trading
- Double lookbacks
- Hitting Lines with Two-Dimensional Brownian Motion
- On the first hitting time and the last exit time for a Brownian motion to/from a moving boundary
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- Multi‐asset barrier options and occupation time derivatives
- valuation of options on joint minima and maxima
- A stopped Brownian motion formula with two sloping line boundaries
- Window double barrier options
- Pricing multi-asset options with an external barrier
- Pricing Options With Curved Boundaries1
- Valuation formulae for window barrier options
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