Hitting Times: A Mix of Mathematics and Finance

Monique Jeanblanc (), Marc Yor and Marc Chesney
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Monique Jeanblanc: Université d’Evry
Marc Yor: Université Paris VI
Marc Chesney: Universität Zürich

Chapter 3 in Mathematical Methods for Financial Markets, 2009, pp 135-210 from Springer

Abstract: Abstract In this chapter, we establish well known results on first hitting times of levels for Brownian motion, Brownian motion with drift and geometric Brownian motion, and we study barrier and lookback options. In the last part of the chapter, we present applications to the structural approach of default risk and real options theory and we give a short presentation of American options.

Keywords: Brownian Motion; Option Price; Real Option; American Option; Strike Price (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-1-84628-737-4_3

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DOI: 10.1007/978-1-84628-737-4_3

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