Time-dependent barrier options and boundary crossing probabilities.
Novikov, A., Frishling, V., Kordzakhia, N. (2003)
Georgian Mathematical Journal
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Novikov, A., Frishling, V., Kordzakhia, N. (2003)
Georgian Mathematical Journal
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Holroyd, Alexander E. (2006)
Electronic Journal of Probability [electronic only]
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Mallier, R., Alobaidi, G. (2002)
Acta Mathematica Universitatis Comenianae. New Series
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Toronjadze, T. (2001)
Georgian Mathematical Journal
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Ratanov, Nikita (2007)
Revista Colombiana de Matemáticas
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Matvijchuk, K.S. (2000)
Siberian Mathematical Journal
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Önalan, Ömer (2008)
Acta Universitatis Apulensis. Mathematics - Informatics
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Shneer, V.V. (2004)
Sibirskij Matematicheskij Zhurnal
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Nagaev, S.V., Vakhtel', V.I. (2008)
Sibirskij Matematicheskij Zhurnal
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Toronjadze, T. (2002)
Georgian Mathematical Journal
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Ryszard Magiera (1994)
Applicationes Mathematicae
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The family of proper conjugate priors is characterized in a general exponential model for stochastic processes which may start from a random state and/or time.
Stoynov, Pavel (2003)
Serdica Mathematical Journal
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2000 Mathematics Subject Classification: 60G48, 60G20, 60G15, 60G17. JEL Classification: G10 The change in the wealth of a market agent (an investor, a company, a bank etc.) in an economy is a popular topic in finance. In this paper, we propose a general stochastic model describing the wealth process and give some of its properties and special cases. A result regarding the probability of default within the framework of the model is also offered.