The hazard rate tangent approximation for boundary hitting times

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

zbMATH Keywords

numerical examplesBrownian motiondiffusion processboundary hitting timehazard rate tangent approximation

Mathematics Subject Classification ID

Brownian motion (60J65) Boundary theory for Markov processes (60J50)

Related Items (6)

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

This page was built for publication: The hazard rate tangent approximation for boundary hitting times