Hieber, Peter; Scherer, Matthias - In: Statistics & Probability Letters 82 (2012) 1, pp. 165-172
The probability of a Brownian motion with drift to remain between two constant barriers (for some period of time) is known explicitly. In mathematical finance, this and related results are required, for example, for the pricing of single-barrier and double-barrier options in a Black–Scholes...