Time-Dependent Barrier Options and Boundary Crossing Probabilities

Georgian Mathematical Journal

Volumn 10, Issue 2, 2003, Pages 325-334

  Novikov, A ^a   Frishling, V ^b   Kordzakhia, N ^b  

^a STEKLOV MATHEMATICAL INSTITUTE   (Russian Federation)

^b Portfolio and Market Risk Management Department   (Australia)

Author keywords

First passage times; Girsanov transformation; numerical integration; Wiener process

Indexed keywords

EID: 84991321332     PISSN: 1072947X     EISSN: 15729176     Source Type: Journal    
DOI: 10.1515/GMJ.2003.325     Document Type: Article

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