We study existence, uniqueness and stability of solutions of stochastic differential equations with time-dependent reflecting barriers in the general case where compensating reflection processes are not necessarily of bounded variations and solutions need not be semimartingales. Applications to models of stock prices with natural boundaries of Bollinger bands type are given.
Abstract. We give the rate of mean-square convergence for the Euler scheme for one-dimensional stochastic differential equations with time dependent reflecting barriers. Applications to stock prices models with natural boundaries of Bollinger bands type are considered.
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