Pricing Barrier Options with Time–Dependent Coefficients

DOI10.1111/1467-9965.00024zbMath0884.90044OpenAlexW2164665159MaRDI QIDQ4372053

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

Brownian motionone-dimensional diffusion processboundary hitting time

Mathematics Subject Classification ID

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