Affiliation:
1. College of Science, Civil Aviation University of China, Tianjin 300300, CHINA
Abstract
In this paper, we discuss the first hitting time and option pricing problem under Geometric Brownian motion with singular volatility. By solving the Sturm-Liouville equation and introducing probability scheme, we derive the closed-form solutions to the target problems. At last, numerical results are provided to analyze our calculations.
Publisher
World Scientific and Engineering Academy and Society (WSEAS)