A diffusion-type process with a given joint law for the terminal level and supremum at an independent exponential time

Stochastic Processes and their Applications

Volumn 121, Issue 12, 2011, Pages 2802-2817

  Forde, Martin ^a  

^a DUBLIN CITY UNIVERSITY   (Ireland)

Author keywords

Barrier options; Excursion theory; One dimensional diffusion processes; Skorokhod embeddings; Stochastic functional differential equations

Indexed keywords

BARRIER OPTIONS; EMBEDDINGS; EXCURSION THEORY; ONE-DIMENSIONAL DIFFUSION PROCESSES; STOCHASTIC FUNCTIONAL DIFFERENTIAL EQUATION;

DIFFERENTIAL EQUATIONS; DIFFUSION; STOCHASTIC SYSTEMS;

DENSITY FUNCTIONAL THEORY;

EID: 80053605862     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2011.07.009     Document Type: Article

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