Sharp estimates for the hitting probability on time-dependent barriers for a Brownian Motion. Weak approximation of a Brownian motion killed on time-dependent barriers

DOI10.1515/mcma.2002.8.3.221zbMath1025.65013OpenAlexW1973805336MaRDI QIDQ4792953

Barbara Pacchiarotti, Lucia Caramellino

Publication date: 20 March 2003

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2108/45350

zbMATH Keywords

convergence Monte Carlo Brownian motion Brownian bridge hitting time barriers barrier options

Mathematics Subject Classification ID

Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).

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