Evaluations of barrier-crossing probabilities of Wiener paths
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Publication:4113202
DOI10.2307/3212830zbMATH Open0344.60047OpenAlexW2322669081MaRDI QIDQ4113202FDOQ4113202
Authors: Chull Park, F. J. Schuurmann 
Publication date: 1976
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/3212830
Cited In (15)
- Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model
- On Markov chain approximations for computing boundary crossing probabilities of diffusion processes
- A Transition to Sharp Timing in Stochastic Leaky Integrate-and-Fire Neurons Driven by Frozen Noisy Input
- A Feynman-Kac based numerical method for the exit time probability of a class of transport problems
- Refined distributions for a multi-risk stochastic process
- On the computation of the survival probability of Brownian motion with drift in a closed time interval when the absorbing boundary is a step function
- One pursuer and two evaders on the line: A stochastic pursuit-evasion differential game
- Numerical evaluation of dynamic behavior of Ornstein-Uhlenbeck processes modified by various boundaries and its application to pricing barrier options
- An asymptotic expansion for one-sided Brownian exit densities
- The tangent approximation to one-sided Brownian exit densities
- On integral equations arising in the first-passage problem for Brownian motion
- Interest and mortality randomness in some annuities
- American options and callable bonds under stochastic interest rates and endogenous bankruptcy
- Extra randomness in certain annuity models
- Computations of boundary crossing probabilities for the wiener process
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