Novikov, A.; Frishling, V.; Kordzakhia, N. Time-dependent barrier options and boundary crossing probabilities. (English) Zbl 1060.91067 Georgian Math. J. 10, No. 2, 325-334 (2003). Summary: The problem of pricing of time-dependent barrier options is considered in the case when interest rate and volatility are given functions in Black-Scholes framework. The calculation of the fair price reduces to the calculation of nonlinear boundary crossing probabilities for a standard Brownian motion. The proposed method is based on a piecewise-linear approximation for the boundary and repeated integration. The numerical example provided draws attention to the performance of suggested method in comparison to some alternatives. Cited in 12 Documents MSC: 91B28 Finance etc. (MSC2000) 60J65 Brownian motion Keywords:first passage times; Wiener process; Girsanov transformation; numerical integration PDFBibTeX XMLCite \textit{A. Novikov} et al., Georgian Math. J. 10, No. 2, 325--334 (2003; Zbl 1060.91067) Full Text: EuDML