Add to ORKGInternational audienceThis paper provides new explicit results for some boundary crossing distributions in a multi-dimensional geometric Brownian motion framework when the boundary is a piecewise constant function of time. Among their various possible applications, they enable accurate and efficient analytical valuation of a large number of option contracts traded in the financial markets belonging to the classes of barrier and lookback options
The payoff of a barrier option depends on whether a specified underlying asset price crosses a speci...
Let (Xt) denote a diusion process driven by a Brownian motion (Wt). We analyze the problem of comput...
In this thesis we focus on the development of a new class of stochastic models for asset price proce...
Computing the probability for a given diffusion process to stay under a particular boundary is cruci...
Using martingale methods, we derive a set of theorems of boundary crossing probabilities for a Brown...
Explicit formulae are found for the probability that the Brownian motion, Bt, up-crosses, in [0,T], ...
The problem of pricing of time-dependent barrier options is considered in the case when interest rat...
We evaluate some boundary-crossing time density functions for time-changed Brownian motion. As examp...
This paper aims at supplying a decision support system tool to investors having options written on a...
We reduce a problem of pricing continuously monitored defaultable securities (barrier options, corpo...
Let B be a standard Brownian motion and let b ° be a piecewise linear continuous boundary function. ...
In this paper, we study the excursion time of a Brownian motion with drift outside a corridor by usi...
We construct proxy regions based on local time arguments and consider numerical approximations. Thes...
In this paper we study the excursion time of a Brownian motion with drift outside a corridor by usin...
This article addresses some of the valuation problems, in the Black and Scholes setting of a geometr...
The payoff of a barrier option depends on whether a specified underlying asset price crosses a speci...
Let (Xt) denote a diusion process driven by a Brownian motion (Wt). We analyze the problem of comput...
In this thesis we focus on the development of a new class of stochastic models for asset price proce...
Computing the probability for a given diffusion process to stay under a particular boundary is cruci...
Using martingale methods, we derive a set of theorems of boundary crossing probabilities for a Brown...
Explicit formulae are found for the probability that the Brownian motion, Bt, up-crosses, in [0,T], ...
The problem of pricing of time-dependent barrier options is considered in the case when interest rat...
We evaluate some boundary-crossing time density functions for time-changed Brownian motion. As examp...
This paper aims at supplying a decision support system tool to investors having options written on a...
We reduce a problem of pricing continuously monitored defaultable securities (barrier options, corpo...
Let B be a standard Brownian motion and let b ° be a piecewise linear continuous boundary function. ...
In this paper, we study the excursion time of a Brownian motion with drift outside a corridor by usi...
We construct proxy regions based on local time arguments and consider numerical approximations. Thes...
In this paper we study the excursion time of a Brownian motion with drift outside a corridor by usin...
This article addresses some of the valuation problems, in the Black and Scholes setting of a geometr...
The payoff of a barrier option depends on whether a specified underlying asset price crosses a speci...
Let (Xt) denote a diusion process driven by a Brownian motion (Wt). We analyze the problem of comput...
In this thesis we focus on the development of a new class of stochastic models for asset price proce...