Simulation of Brownian motion at first-passage times

Mathematics and Computers in Simulation

Volumn 77, Issue 1, 2008, Pages 64-71

  Burq, Zaeem A ^a   Jones, Owen D ^a  

^a UNIVERSITY OF MELBOURNE   (Australia)

Author keywords

Barrier option; Boundary crossing; Brownian motion; First passage time; Simulation

Indexed keywords

ALGORITHMS; COMPUTATIONAL METHODS; COMPUTER SIMULATION; FINANCE; PROBLEM SOLVING;

BARRIER OPTIONS; BOUNDARY CROSSING; FIRST-PASSAGE TIME;

BROWNIAN MOVEMENT;

EID: 38649110417     PISSN: 03784754     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.matcom.2007.01.038     Document Type: Article

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