A0846
Title: Sensitivity of boundary crossing probabilities of the Brownian motion
Authors: Sercan Gur - Vienna University of Economics and Business (Austria) [presenting]
Klaus Poetzelberger - WU Vienna (Austria)
Abstract: The aim is to analyze 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.
