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 (Q4792953)
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scientific article; zbMATH DE number 1870275
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | 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 |
scientific article; zbMATH DE number 1870275 |
Statements
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 (English)
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20 March 2003
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Brownian motion
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Brownian bridge
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barriers
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hitting time
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barrier options
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Monte Carlo
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convergence
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