SCOPUS 정보 검색 플랫폼

Volumn 7, Issue 1, 1997, Pages 83-93

Pricing barrier options with time-dependent coefficients

Author keywords

Boundary hitting time; Brownian motion; One dimensional diffusion process

Indexed keywords

EID: 0031538461 PISSN: 09601627 EISSN: None Source Type: Journal
DOI: 10.1111/1467-9965.00024 Document Type: Article

Times cited : (51)

References (5)

1
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- Martingales and Stochastic integrals in the theory of continuous trading
- HARRISON, J. M., and S. R. PLISKA (1981): "Martingales and Stochastic Integrals in the Theory of Continuous Trading," Stoch. Process Appl., 11, 215-260.
- (1981) Stoch. Process Appl. , vol.11 , pp. 215-260
- Harrison, J.M.¹ Pliska, S.R.²

2
- 0004171561
- Berlin: Springer-Verlag
- KARATZAS, I., and S. E. SHREVE (1988): Brownian Motion and Stochastic Calculus. Berlin: Springer-Verlag.
- (1988) Brownian Motion and Stochastic Calculus
- Karatzas, I.¹ Shreve, S.E.²

3
- 0039668276
- The hazard rate tangent approximation for boundary hitting times
- ROBERTS, G. O., and C. F. SHORTLAND (1994): "The Hazard Rate Tangent Approximation for Boundary Hitting Times," Ann. Appl. Prob., 5, 446-460.
- (1994) Ann. Appl. Prob. , vol.5 , pp. 446-460
- Roberts, G.O.¹ Shortland, C.F.²

4
- 0003617670
- New York: Wiley
- ROGERS, L. C. G., and D. WILLIAMS (1987): Diffusions, Markov Processes and Martingales, Vol. 2: Ito Calculus. New York: Wiley.
- (1987) Diffusions, Markov Processes and Martingales, Vol. 2: Ito Calculus , vol.2
- Rogers, L.C.G.¹ Williams, D.²

5
- 0000874947
- Breaking down the barriers
- RUBINSTEIN, M., and E. REINER (1991): "Breaking Down the Barriers," Risk, 4, 8.
- (1991) Risk , vol.4 , pp. 8
- Rubinstein, M.¹ Reiner, E.²

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.