Skip to main content
Quantitative Finance

You are not logged in. Your edit will be placed in a queue until it is peer reviewed.

We welcome edits that make the post easier to understand and more valuable for readers. Because community members review edits, please try to make the post substantially better than how you found it, for example, by fixing grammar or adding additional resources and hyperlinks.

4
  • $\begingroup$ I've seen some really complicated answers that include the pdf of first passage time etc. What is the connection between this answer and those concepts and how are we able to simplify it to this? $\endgroup$ Commented Aug 5, 2024 at 12:17
  • $\begingroup$ I.e. the formula for the pdf of the first passage time from Karatzas and Shreve Second Edition Proposition 6.19 is very complicated, and doesn't seem to have a well defined expectation. How do we know that the above is average time to travel that distance? $\endgroup$ Commented Aug 5, 2024 at 12:38
  • $\begingroup$ Also should there be a $\sqrt{\frac{2}{\pi}}$ here because we are dealing with barriers on both sides? $\endgroup$ Commented Aug 6, 2024 at 9:49
  • $\begingroup$ Those are all fair questions - which is why I wrote ‘heuristically’. $\endgroup$ Commented Aug 6, 2024 at 9:57