Improving Brownian approximations for boundary crossing problems
From MaRDI portal
Publication:1940752
DOI10.3150/11-BEJ396zbMath1270.60053arXiv1301.7625MaRDI QIDQ1940752
Publication date: 7 March 2013
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1301.7625
Related Items (2)
Recovering a distribution from its translated fractional moments ⋮ Continuity correction: on the pricing of discrete double barrier options
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Sequential analysis. Tests and confidence intervals
- Comments on a problem of Chernoff and Petkau
- Connecting discrete and continuous path-dependent options
- Quadrature routines for ladder variables
- A Continuity Correction for Discrete Barrier Options
- Comment on ‘Corrected diffusion approximations in certain random walk problems'
- Corrected diffusion approximations in certain random walk problems
- Brownian approximations to first passage probabilities
- Second-order corrections for Brownian motion approximations to first-passage probabilities
- Corrected Diffusion Approximations for a Multistage Production-Inventory System
- Diffusions and Elliptic Operators
- Particle trajectories in nonlinear capillary waves
- On Characteristic Functions and Renewal Theory
- A Local Limit Theorem for Nonlattice Multi-Dimensional Distribution Functions
This page was built for publication: Improving Brownian approximations for boundary crossing problems