Continuity Theorems in Boundary Crossing Problems for Diffusion Processes
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| dc.contributor.author | Borovkov Kostya | en_US |
| dc.contributor.author | Downes A. | en_US |
| dc.contributor.author | Novikov Alex | en_US |
| dc.contributor.editor | Chiarella, C.; Novikov, A. | en_US |
| dc.date.accessioned | 2012-02-02T02:01:12Z | |
| dc.date.available | 2012-02-02T02:01:12Z | |
| dc.date.issued | 2010 | en_US |
| dc.identifier | 2010001570 | en_US |
| dc.identifier.citation | Borovkov Kostya, Downes A., and Novikov Alex 2010, 'Continuity Theorems in Boundary Crossing Problems for Diffusion Processes', in http://dx.doi.org/10.1007/978-3-642-03479-4_17 (ed.), Springer, Berlin, pp. 335-368. | en_US |
| dc.identifier.issn | 9783642034787 | en_US |
| 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. | en_US |
| dc.language | en_US | |
| dc.publisher | Springer | en_US |
| dc.relation.isbasedon | http://dx.doi.org/10.1007/978-3-642-03479-4_17 | en_US |
| dc.title | Continuity Theorems in Boundary Crossing Problems for Diffusion Processes | en_US |
| dc.parent | Contemporary Quantitative Finance: Essays in Honour of Eckhard Platen | en_US |
| dc.journal.volume | en_US | |
| dc.journal.number | en_US | |
| dc.publocation | Berlin | en_US |
| 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 | en_US |
| dc.personcode | 0000066414;0000066415;991062 | en_US |
| dc.percentage | 000100 | 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.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.staffid | en_US |
