The hazard rate tangent approximation for boundary hitting times
From MaRDI portal
Publication:1901084
DOI10.1214/aoap/1177004773zbMath0836.60087OpenAlexW1992130658MaRDI QIDQ1901084
C. F. Shortland, Gareth O. Roberts
Publication date: 9 April 1996
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoap/1177004773
numerical examplesBrownian motiondiffusion processboundary hitting timehazard rate tangent approximation
Related Items
Tools to Estimate the First Passage Time to a Convex Barrier, An approximation for the inverse first passage time problem, A simple approach for pricing barrier options with time-dependent parameters, On boundary crossing probabilities for diffusion processes, On Durbin's Series for the Density of First Passage Times, American option valuation using first-passage densities