Explicit bounds for approximation rates of boundary crossing probabilities for the Wiener process
K. Borovkov and A. Novikov
Source: J. Appl. Probab. Volume 42, Number 1
(2005), 82-92.
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.
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Links and Identifiers
Permanent link to this document: http://projecteuclid.org/euclid.jap/1110381372
Digital Object Identifier: doi:10.1239/jap/1110381372
Mathematical Reviews number (MathSciNet): MR2144895
Zentralblatt MATH identifier: 1077.60057
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