Boundary crossing probability for Brownian motion

Journal of Applied Probability

Volumn 38, Issue 1, 2001, Pages 152-164

  Pötzelberger, Klaus ^a   Wang, Liqun ^b  

^a VIENNA UNIVERSITY OF ECONOMICS AND BUSINESS   (Austria)

^b UNIVERSITY OF MANITOBA   (Canada)

Author keywords

Barrier options; Cumulative sums; Curved boundaries; First hitting time; First passage time; Monte Carlo simulation; Optimal stopping; Random walk; Sequential analysis; Wiener process

Indexed keywords

EID: 0035533786     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/996986650     Document Type: Article

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