Explicit Bounds for Approximation Rates of Boundary Crossing Probabilities for the Wiener Process
نویسنده
چکیده
We give explicit upper bounds for convergence rates when approximating both oneand 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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