Time-dependent barrier options and boundary crossing probabilities.
Novikov, A.; Frishling, V.; Kordzakhia, N.
Georgian Mathematical Journal (2003)
- Volume: 10, Issue: 2, page 325-334
- ISSN: 1072-947X
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topNovikov, A., Frishling, V., and Kordzakhia, N.. "Time-dependent barrier options and boundary crossing probabilities.." Georgian Mathematical Journal 10.2 (2003): 325-334. <http://eudml.org/doc/51244>.
@article{Novikov2003,
author = {Novikov, A., Frishling, V., Kordzakhia, N.},
journal = {Georgian Mathematical Journal},
keywords = {first passage times; Wiener process; Girsanov transformation; numerical integration},
language = {eng},
number = {2},
pages = {325-334},
publisher = {Walter de Gruyter},
title = {Time-dependent barrier options and boundary crossing probabilities.},
url = {http://eudml.org/doc/51244},
volume = {10},
year = {2003},
}
TY - JOUR
AU - Novikov, A.
AU - Frishling, V.
AU - Kordzakhia, N.
TI - Time-dependent barrier options and boundary crossing probabilities.
JO - Georgian Mathematical Journal
PY - 2003
PB - Walter de Gruyter
VL - 10
IS - 2
SP - 325
EP - 334
LA - eng
KW - first passage times; Wiener process; Girsanov transformation; numerical integration
UR - http://eudml.org/doc/51244
ER -
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