Double-barrier option pricing equations under extended geometric Brownian motion with bankruptcy risk

DOI10.1016/j.spl.2022.109383zbMath1484.60094OpenAlexW4210323049MaRDI QIDQ2667616

Cheng-Hsun Wu, Pei-Chun Chen, Yu-Sheng Hsu

Publication date: 4 March 2022

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2022.109383

zbMATH Keywords

Black-Scholes modelgeometric Brownian motiondouble-barrier option

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Cites Work

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