crossing probabilities
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2019 ◽  
Vol 25 (1) ◽  
pp. 75-83
Author(s):  
Sercan Gür ◽  
Klaus Pötzelberger

Abstract The paper analyzes the sensitivity of boundary crossing probabilities of the Brownian motion to perturbations of the boundary. The first- and second-order sensitivities, i.e. the directional derivatives of the probability, are derived. Except in cases where boundary crossing probabilities for the Brownian bridge are given in closed form, the sensitivities have to be computed numerically. We propose an efficient Monte Carlo procedure.


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