On the distribution of first exit time for Brownian motion with double linear time-dependent barriers

DOI10.1155/2013/865347zbMath1298.60082OpenAlexW2023276917WikidataQ59000089 ScholiaQ59000089MaRDI QIDQ469885

Dongjin Zhu, Lin Xu

Publication date: 11 November 2014

Published in: ISRN Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2013/865347

Mathematics Subject Classification ID

Brownian motion (60J65)

Cites Work

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• Analysis of an Inverse First Passage Problem from Risk Management
• Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
• Option pricing when underlying stock returns are discontinuous
• Optimal Dividends

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