Continuity Theorems in Boundary Crossing Problems for Diffusion Processes

Borovkov, K; Downes, AN; Novikov, A

Continuity Theorems in Boundary Crossing Problems for Diffusion Processes

Borovkov, K Downes, AN Novikov, A

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Publisher:: Springer
Publication Type:: Chapter
Citation:: Contemporary Quantitative Finance: Essays in Honour of Eckhard Platen, 2010, First edition, pp. 335 - 368
Issue Date:: 2010-01

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Field	Value	Language
dc.contributor.author	Borovkov, K	en_US
dc.contributor.author	Downes, AN	en_US
dc.contributor.author	Novikov, A https://orcid.org/0000-0001-8529-173X	en_US
dc.contributor.editor	Chiarella, C	en_US
dc.contributor.editor	Novikov, A https://orcid.org/0000-0001-8529-173X	en_US
dc.date.issued	2010-01	en_US
dc.identifier.citation	Contemporary Quantitative Finance: Essays in Honour of Eckhard Platen, 2010, First edition, pp. 335 - 368	en_US
dc.identifier.isbn	978-3-642-03478-7	en_US
dc.identifier.uri	http://hdl.handle.net/10453/14244
dc.description.abstract	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.	en_US
dc.publisher	Springer	en_US
dc.relation.ispartof	Contemporary Quantitative Finance: Essays in Honour of Eckhard Platen	en_US
dc.relation.isbasedon	10.1007/978-3-642-03479-4_17	en_US
dc.title	Continuity Theorems in Boundary Crossing Problems for Diffusion Processes	en_US
dc.type	Chapter
utslib.location	Germany	en_US
utslib.for	010406 Stochastic Analysis and Modelling	en_US
utslib.citation.edition	First edition	en_US
dc.location.activity	Sydney, Australia	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	closed_access
pubs.consider-herdc	true	en_US
pubs.edition	First edition	en_US
pubs.place-of-publication	Germany	en_US

Abstract:

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.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/14244