Explicit Bounds for Approximation Rates of Boundary Crossing Probabilities for the Wiener Process

DOI10.1239/jap/1110381372zbMath1077.60057OpenAlexW2064699282MaRDI QIDQ5312842

Konstantin A. Borovkov, Alexander Novikov

Publication date: 25 August 2005

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1110381372

zbMATH Keywords

barrier option process

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites Work

• Boundary crossing of Brownian motion. Its relation to the law of the iterated logarithm and to sequential analysis
• Approximating the first crossing-time density for a curved boundary
• Boundary crossing probability for Brownian motion
• A computational approach to first-passage-time problems for Gauss–Markov processes
• The first-passage density of the Brownian motion process to a curved boundary
• On the Speed of Convergence in a Boundary Problem
• Boundary crossing probability for Brownian motion and general boundaries
• Pricing Barrier Options with Time–Dependent Coefficients
• On evaluations and asymptotic approximations of first-passage-time probabilities
• Approximations of boundary crossing probabilities for a Brownian motion
• The minimum of a stationary Markov process superimposed on a U-shaped trend
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