Explicit bounds for approximation rates of boundary crossing probabilities for the wiener process

Journal of Applied Probability

Volumn 42, Issue 1, 2005, Pages 82-92

  Borovkov, K ^a   Novikov, A ^b  

^a UNIVERSITY OF MELBOURNE   (Australia)

^b UNIVERSITY OF TECHNOLOGY SYDNEY   (Australia)

Author keywords

Barrier option; Boundary crossing probability; Wiener process

Indexed keywords

EID: 18444400263     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/1110381372     Document Type: Article

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