Explicit bounds for approximation rates of boundary crossing probabilities for the wiener process

Borovkov, K; Novikov, A

Explicit bounds for approximation rates of boundary crossing probabilities for the wiener process

Borovkov, K Novikov, A

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Publication Type:: Journal Article
Citation:: Journal of Applied Probability, 2005, 42 (1), pp. 82 - 92
Issue Date:: 2005-03-01

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Field	Value	Language
dc.contributor.author	Borovkov, K	en_US
dc.contributor.author	Novikov, A https://orcid.org/0000-0001-8529-173X	en_US
dc.date.issued	2005-03-01	en_US
dc.identifier.citation	Journal of Applied Probability, 2005, 42 (1), pp. 82 - 92	en_US
dc.identifier.issn	0021-9002	en_US
dc.identifier.uri	http://hdl.handle.net/10453/12769
dc.description.abstract	We give explicit upper bounds for convergence rates when approximating both one- and two-sided general curvilinear boundary crossing probabilities for the Wiener process by similar probabilities for close boundaries of simpler form, for which computation of the boundary crossing probabilities is feasible. In particular, we partially generalize and improve results obtained by Pötzelberger and Wang in the case when the approximating boundaries are piecewise linear. Applications to barrier option pricing are also discussed. © Applied Probability Trust 2005.	en_US
dc.relation	http://purl.org/au-research/grants/arc/DP0559879
dc.relation.ispartof	Journal of Applied Probability	en_US
dc.relation.isbasedon	10.1239/jap/1110381372	en_US
dc.subject.classification	Statistics & Probability	en_US
dc.title	Explicit bounds for approximation rates of boundary crossing probabilities for the wiener process	en_US
dc.type	Journal Article
utslib.citation.volume	1	en_US
utslib.citation.volume	42	en_US
utslib.for	010406 Stochastic Analysis and Modelling	en_US
utslib.for	010205 Financial Mathematics	en_US
utslib.for	0102 Applied Mathematics	en_US
utslib.for	0104 Statistics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	closed_access
pubs.issue	1	en_US
pubs.publication-status	Published	en_US
pubs.volume	42	en_US

Abstract:

We give explicit upper bounds for convergence rates when approximating both one- and two-sided general curvilinear boundary crossing probabilities for the Wiener process by similar probabilities for close boundaries of simpler form, for which computation of the boundary crossing probabilities is feasible. In particular, we partially generalize and improve results obtained by Pötzelberger and Wang in the case when the approximating boundaries are piecewise linear. Applications to barrier option pricing are also discussed. © Applied Probability Trust 2005.

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http://hdl.handle.net/10453/12769