The Hitting Time Density for a Reflected Brownian Motion
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Volume (Year): 40 (2012)
Issue (Month): 1 (June)
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- Lijun Bo & Yongjin Wang & Xuewei Yang, 2010. "Some integral functionals of reflected SDEs and their applications in finance," Quantitative Finance, Taylor & Francis Journals, vol. 11(3), pages 343-348.
- Black, Fischer & Cox, John C, 1976. "Valuing Corporate Securities: Some Effects of Bond Indenture Provisions," Journal of Finance, American Finance Association, vol. 31(2), pages 351-367, May.
- Vadim Linetsky, 2004. "Lookback options and diffusion hitting times: A spectral expansion approach," Finance and Stochastics, Springer, vol. 8(3), pages 373-398, August.
- Dirk Veestraeten, 2004. "The Conditional Probability Density Function for a Reflected Brownian Motion," Computational Economics, Springer;Society for Computational Economics, vol. 24(2), pages 185-207, September.
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