Crossing Probabilities for Diffusion Processes with Piecewise Continuous Boundaries
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Mathematics,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s11009-006-9002-6.pdf
Reference48 articles.
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3. F. Black, and M. Scholes,“The pricing of options and corporate liabilities,” Journal of Political Economy vol.81, pp. 637–659, 1973.
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5. K. Borovkov and A. Novikov,“Explicit bounds for approaximation rates of boundary crossing probabilities for the Wiener process,” Journal of Applied Probability vol. 42, pp. 82–92, 2005.
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