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Simulation of Brownian motion at first-passage times - MaRDI portal

Simulation of Brownian motion at first-passage times (Q2479441)

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Simulation of Brownian motion at first-passage times
scientific article

    Statements

    title
    Simulation of Brownian motion at first-passage times (English)
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    author
    Z. Burq
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    Owen Dafydd Jones
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    publication date
    26 March 2008
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    zbMATH Keywords
    Brownian motion
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    simulation
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    first-passage time
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    boundary crossing
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    barrier-option
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    Identifiers

    zbMATH DE Number
    5254163
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    OpenAlex ID
    W1966027515
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