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On the first hitting time density for a reducible diffusion process

Lipton, Alexander; Kaushansky, Vadim - In: Quantitative finance 20 (2020) 5, pp. 723-743

Persistent link: https://www.econbiz.de/10012262616

Old problems, classical methods, new solutions

Lipton, Alexander - In: International journal of theoretical and applied finance 23 (2020) 4, pp. 1-37

Persistent link: https://www.econbiz.de/10012284595

On an Alternative Approach to Pricing General Barrier Options

Suchanecki, Michael - University of Bonn, Germany - 2004

hitting time density to the barrier. The lateral Chapman-Kolmogorov relation is used as a major tool in order to determine …In this paper, an alternative approach to pricing barrier options is presented that relies on the use of the first …

Persistent link: https://www.econbiz.de/10004968443

On an Alternative Approach to Pricing General Barrier Options

Suchanecki, Michael - 2004

Persistent link: https://www.econbiz.de/10010267229