On the Probability of Hitting a constant or a Time-Dependent Boundary for a Geometric Brownian Motion with Time-Dependent Coefficients - CY Cergy Paris Université Access content directly
Journal Articles Applied Mathematics Year : 2014

On the Probability of Hitting a constant or a Time-Dependent Boundary for a Geometric Brownian Motion with Time-Dependent Coefficients

Tristan Guillaume
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Théorie économique, modélisation et applications

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Economics and Finance

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Submitted on : Tuesday, October 27, 2020-11:40:12 AM

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hal-02979722 , version 1 (27-10-2020)

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Tristan Guillaume. On the Probability of Hitting a constant or a Time-Dependent Boundary for a Geometric Brownian Motion with Time-Dependent Coefficients. Applied Mathematics, 2014, 20, pp.989-1009. ⟨10.12988/ams.2014.311631⟩. ⟨hal-02979722⟩

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CNRS UNIV-CERGY THEMA-UMR8184 CY-TECH-SM
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