Equation: Probability density of geometric Brownian motion hitting a barrier for the first time at T

Probability density of geometric Brownian motion hitting a barrier for the first time at T

created by:

Thijs van den Berg (http://www.sitmo.com)

Probability density of geometric Brownian motion hitting a barrier for the first time at T.

	Probability of x
S	Present value of the geometric Brownian motion
	volatility
Y	Yield / drift term
B	Barrier
T	time

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