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llyn (tea) 于 (Wed May 9 02:08:39 2007) 提到:
Let S = r t + sigma*W(t), where W(t) is standard Brownian motion.
The initial condition is S(t=0) = S_o > 0
Let tau_a = Min(t, S(t)=a), where S_o > a >= 0
What is the probability that P(tau_a > T)?
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llyn (tea) 于 (Wed May 9 02:17:24 2007) 提到:
If r=0, it is not difficult to solve the problem using
the reflection principle.
However, with a non-zero drift term, |
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