Abstract
We consider an extended geometric Brownian motion with bankruptcy risk and solve its double barrier option pricing problem. We establish its partial differential equation and provide its numerical solution. Then we discuss the influence of bankruptcy omission by simulation.
Original language | English |
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Article number | 109383 |
Journal | Statistics and Probability Letters |
Volume | 184 |
DOIs | |
State | Published - May 2022 |
Keywords
- Black–Scholes model
- Double-barrier option
- Geometric Brownian motion