Double-barrier option pricing equations under extended geometric Brownian motion with bankruptcy risk

Yu Sheng Hsu, Pei Chun Chen, Cheng Hsun Wu

Research output: Contribution to journalArticlepeer-review

3 Scopus citations

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 languageEnglish
Article number109383
JournalStatistics and Probability Letters
Volume184
DOIs
StatePublished - May 2022

Keywords

  • Black–Scholes model
  • Double-barrier option
  • Geometric Brownian motion

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