Continuity Theorems in Boundary Crossing Problems for Diffusion Processes
- Publication Type:
- Contemporary Quantitative Finance: Essays in Honour of Eckhard Platen, 2010, First edition, pp. 335 - 368
- Issue Date:
Computing the probability for a given diffusion process to stay under a particular boundary is crucial in many important applications including pricing financial barrier options and defaultable bonds. We discuss results on the accuracy of approximations for both the Brownian motion process and general time-homogeneous diffusions and also some contiguous topics.
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