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.
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© 2009 Springer-Verlag London
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Jeanblanc, M., Yor, M., Chesney, M. (2009). Hitting Times: A Mix of Mathematics and Finance. In: Mathematical Methods for Financial Markets. Springer Finance. Springer, London. https://doi.org/10.1007/978-1-84628-737-4_3
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DOI: https://doi.org/10.1007/978-1-84628-737-4_3
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Publisher Name: Springer, London
Print ISBN: 978-1-84882-819-3
Online ISBN: 978-1-84628-737-4
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