Monte Carlo Simulation of Boundary Crossing Probabilities for a Brownian Motion and Curved Boundaries
We are concerned with the probability that a standard Brownian motion W(t) crosses a curved boundary c(t) on a finite interval [0, T]. Let this probability be denoted by Q(c(t); T). Due to recent advances in research a new way of estimating Q(c(t); T) seems feasible: Monte Carlo Simulation. Wang and...
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| Format: | Others |
| Language: | en |
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2005
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| Online Access: | http://epub.wu.ac.at/1927/1/document.pdf |