Continuity Theorems in Boundary Crossing Problems for Diffusion Processes

DOI10.1007/978-3-642-03479-4_17zbMath1223.91036OpenAlexW2160468206MaRDI QIDQ3000888

Andrew N. Downes, Konstantin A. Borovkov, Alexander Novikov

Publication date: 31 May 2011

Published in: Contemporary Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-03479-4_17

zbMATH Keywords

boundary crossingbarrier optionsvanilla option

Mathematics Subject Classification ID

Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

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