Haoyan Zhang, Yece Zhou, Xuan Li, Yinyin Wu, "First Hitting Time and Option Pricing Problem Under Geometric Brownian Motion with Singular Volatility," WSEAS Transactions on Mathematics, vol. 22, pp. 875-883, 2023, DOI:10.37394/23206.2023.22.95
Haoyan Zhang, Yece Zhou, Xuan Li, Yinyin Wu. First Hitting Time and Option Pricing Problem Under Geometric Brownian Motion with Singular Volatility.
WSEAS Transactions on Mathematics. 2023;22:875-883. 10.37394/23206.2023.22.95
WSEAS Transactions on Mathematics
Print ISSN: 1109-2769, E-ISSN: 2224-2880
Volume 22, 2023
First Hitting Time and Option Pricing Problem Under Geometric Brownian Motion with Singular Volatility
Authors: , , ,
Abstract: In this paper, we discuss the first hitting time and option pricing problem under Geometric Brownian motion with singular volatility. By solving the Sturm-Liouville equation and introducing probability scheme, we derive the closed-form solutions to the target problems. At last, numerical results are provided to analyze our calculations.
Keywords:
Geometric Brownian motion, First hitting time, Laplace transform, Option pricing, Closed-form
solution, Numerical result
Pages: 875-883 WSEAS Transactions on Mathematics, ISSN / E-ISSN: 1109-2769 / 2224-2880, Volume 22, 2023, Art. #95 DOI: 10.37394/23206.2023.22.95
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