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

Yu-Sheng Hsu, Pei-Chun Chen and Cheng-Hsun Wu

Statistics & Probability Letters, 2022, vol. 184, issue C

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: Geometric Brownian motion; Black–Scholes model; Double-barrier option (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1016/j.spl.2022.109383

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