IDEAS home Printed from https://ideas.repec.org/a/hin/jnljps/391681.html
   My bibliography  Save this article

On the Computation of the Survival Probability of Brownian Motion with Drift in a Closed Time Interval When the Absorbing Boundary Is a Step Function

Author

Listed:
  • Tristan Guillaume

Abstract

This paper provides explicit formulae for the probability that an arithmetic or a geometric Brownian motion will not cross an absorbing boundary defined as a step function during a finite time interval. Various combinations of downward and upward steps are handled. Numerical computation of the survival probability is done quasi-instantaneously and with utmost precision. The sensitivity of the survival probability to the number and the ordering of the steps in the boundary is analyzed.

Suggested Citation

  • Tristan Guillaume, 2015. "On the Computation of the Survival Probability of Brownian Motion with Drift in a Closed Time Interval When the Absorbing Boundary Is a Step Function," Journal of Probability and Statistics, Hindawi, vol. 2015, pages 1-22, September.
    • Handle: RePEc:hin:jnljps:391681
    DOI: 10.1155/2015/391681
    as

    Download full text from publisher

    File URL: http://downloads.hindawi.com/journals/JPS/2015/391681.pdf
    Download Restriction: no
    File URL: http://downloads.hindawi.com/journals/JPS/2015/391681.xml
    Download Restriction: no
    File URL: https://libkey.io/10.1155/2015/391681?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Lee, Hangsuck & Lee, Gaeun & Song, Seongjoo, 2023. "Min–max multi-step barrier options and their variants," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
    2. Hangsuck Lee & Gaeun Lee & Seongjoo Song, 2022. "Multi‐step reflection principle and barrier options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(4), pages 692-721, April.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hin:jnljps:391681. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mohamed Abdelhakeem (email available below). General contact details of provider: https://www.hindawi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.