Stochastic barriers for the Wiener process

DOI10.2307/3213806MaRDI QIDQ3658863zbMATH OpenOpenAlexFDO

Authors Chull Park, John A. Beekman

Publication date 1983

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3213806

zbMATH Keywords

collective risk modeldeterministic functionstochastic barrier

Mathematics Subject Classification ID

Brownian motion (60J65) Markov processes (60J99)

Cited in

(3)

• On the first exit time of geometric Brownian motion from stochastic exponential boundaries
• Closed form valuation of barrier options with stochastic barriers
• Optimal dividends under Markov-modulated bankruptcy level

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