Suppose the asset price follows the Geometric Brownian process with drift rate r and volatility under

Question:

Suppose the asset price follows the Geometric Brownian process with drift rate r and volatility σ under the risk neutral measure Q. Find the density function of the asset price ST at expiration time T, with time-0 asset price S starting below the barrier B then breaching the barrier but ending below the barrier at expiration.

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Related Book For  answer-question
Question Posted: