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.