Pricing Barrier Options with Time–Dependent Coefficients

DOI10.1111/1467-9965.00024MaRDI QIDQ4372053zbMATH OpenOpenAlexFDO

Authors Gareth O. Roberts, C. F. Shortland

Publication date 5 April 1998

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9965.00024

zbMATH Keywords

boundary hitting timeBrownian motionone-dimensional diffusion process

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Economic growth models (91B62) Statistical methods; economic indices and measures (91B82)

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