• David Lee deposited Conditional Probability of Hitting Barrier in the group Group logo of Business ManagementBusiness Management on Humanities Commons 1 year, 11 months ago

    A model is developed for evaluating the conditional probability of hitting an upper barrier before a lower barrier, and vice versa, for a tied down geometric Brownian motion with drift. The method produces an analytical value for this probability, assuming that the barrier levels are constant and continuously monitored.