scientific article; zbMATH DE number 2062298
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Publication:4459185
zbMATH Open1060.91067MaRDI QIDQ4459185FDOQ4459185
Authors: Volf Frishling, N. Kordzakhia, A. Novikov 
Publication date: 25 March 2004
Full work available at URL: https://eudml.org/doc/51244
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- Boundary noncrossings of additive Wiener fields
- Local time and the pricing of path-dependent options
- Stochastic boundary crossing probabilities for the Brownian motion
- Sharp estimates for the hitting probability on time-dependent barriers for a Brownian Motion. Weak approximation of a Brownian motion killed on time-dependent barriers
- Some sequential boundary crossing results for geometric Brownian motion and their applications in financial engineering
- A numerical scheme for expectations with first hitting time to smooth boundary
- Pricing foreign exchange options under intervention by absorption modeling
- EPV-operators in barrier option with a simple time dependent barrier
- Asymptotic behaviour of random maturity barrier options
- The dependence structure of running maxima and minima: results and option pricing applications
- A simple model for market booms and crashes
- Continuity theorems in boundary crossing problems for diffusion processes
- Semi-analytical method for the pricing of barrier options in case of time-dependent parameters (with Matlab\(^\circledR\) codes)
- Explicit asymptotics on first passage times of diffusion processes
- Boundary non-crossing probabilities of Gaussian processes: sharp bounds and asymptotics
- First passage probabilities of one-dimensional diffusion processes
- Recovering a distribution from its translated fractional moments
- Explicit Bounds for Approximation Rates of Boundary Crossing Probabilities for the Wiener Process
- The First-passage Time of the Brownian Motion to a Curved Boundary: an Algorithmic Approach
- Cross a barrier to reach barrier options
- A very fast and accurate boundary element method for options with moving barrier and time-dependent rebate
- Pricing options with Green's functions when volatility, interest rate and barriers depend on time
- A simple approach for pricing barrier options with time-dependent parameters
- Crossing probabilities for diffusion processes with piecewise continuous boundaries
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