Hitting Times: A Mix of Mathematics and Finance

  • Monique JeanblancEmail author
  • Marc Yor
  • Marc Chesney
Part of the Springer Finance book series (FINANCE)


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.


Brownian Motion Option Price Real Option American Option Strike Price 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Copyright information

© Springer-Verlag London 2009

Authors and Affiliations

  1. 1.Dépt. MathématiquesUniversité d’EvryEvryFrance
  2. 2.Labo. Probabilités et Modèles AléatoiresUniversité Paris VIParisFrance
  3. 3.Inst. Schweizerisches Bankwesen (ISB)Universität ZürichZürichSwitzerland

Personalised recommendations