Continuity Theorems in Boundary Crossing Problems for Diffusion Processes

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dc.contributor.author Borovkov, K
dc.contributor.author Downes, AN
dc.contributor.author Novikov, A
dc.contributor.editor Chiarella, C
dc.contributor.editor Novikov, A
dc.date.accessioned 2012-02-02T02:01:12Z
dc.date.issued 2010-01
dc.identifier.citation Contemporary Quantitative Finance: Essays in Honour of Eckhard Platen, 2010, First edition, pp. 335 - 368
dc.identifier.isbn 978-3-642-03478-7
dc.identifier.other B1 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.
dc.publisher Springer
dc.relation.isbasedon 10.1007/978-3-642-03479-4_17
dc.subject diffusion processes, boundary crossing probabilities
dc.subject diffusion processes, boundary crossing probabilities
dc.title Continuity Theorems in Boundary Crossing Problems for Diffusion Processes
dc.type Chapter
dc.parent Contemporary Quantitative Finance: Essays in Honour of Eckhard Platen
dc.journal.number en_US
dc.publocation Germany en_US
dc.publocation Germany
dc.publocation Germany
dc.publocation Germany
dc.publocation Germany
dc.publocation Germany
dc.identifier.startpage 335 en_US
dc.identifier.endpage 368 en_US
dc.cauo.name SCI.Mathematical Sciences en_US
dc.conference Verified OK en_US
dc.for 010406 Stochastic Analysis and Modelling
dc.personcode 0000066414 en_US
dc.personcode 0000066415 en_US
dc.personcode 991062 en_US
dc.percentage 100 en_US
dc.classification.name Stochastic Analysis and Modelling en_US
dc.classification.type FOR-08 en_US
dc.edition First edition en_US
dc.edition First edition
dc.edition First edition
dc.edition First edition
dc.edition First edition
dc.edition First edition
dc.custom Quantitative Methods in Finance en_US
dc.date.activity 20091213 en_US
dc.location.activity Sydney, Australia en_US
dc.description.keywords diffusion processes, boundary crossing probabilities en_US
dc.description.keywords diffusion processes, boundary crossing probabilities
dc.description.keywords diffusion processes, boundary crossing probabilities
dc.description.keywords diffusion processes, boundary crossing probabilities
dc.description.keywords diffusion processes, boundary crossing probabilities
dc.description.keywords diffusion processes, boundary crossing probabilities
dc.staffid en_US
dc.staffid 991062 en_US
pubs.embargo.period Not known
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 Sciences
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance


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