Geodesic
Time-dependent barrier options and boundary crossing probabilities.
Georgian Mathematical Journal, Tome 10 (2003) no. 2, pp. 325-334.

Voir la notice de l'article provenant de la source European Digital Mathematics Library

Keywords: first passage times, Wiener process, Girsanov transformation, numerical integration 
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     title = {Time-dependent barrier options and boundary crossing probabilities.},
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Novikov, A.; Frishling, V.; Kordzakhia, N. Time-dependent barrier options and boundary crossing probabilities.. Georgian Mathematical Journal, Tome 10 (2003) no. 2, pp. 325-334. http://geodesic.mathdoc.fr/item/GMJ_2003__10_2_51244/