@article{3428d93fc11c4637992c2fc05a513075,
title = "Double-barrier option pricing equations under extended geometric Brownian motion with bankruptcy risk",
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.",
keywords = "Black–Scholes model, Double-barrier option, Geometric Brownian motion",
author = "Hsu, {Yu Sheng} and Chen, {Pei Chun} and Wu, {Cheng Hsun}",
note = "Publisher Copyright: {\textcopyright} 2022 Elsevier B.V.",
year = "2022",
month = may,
doi = "10.1016/j.spl.2022.109383",
language = "???core.languages.en_GB???",
volume = "184",
journal = "Statistics and Probability Letters",
issn = "0167-7152",
}