Distributions of occupation times of Brownian motion with drift (Q1302365): Difference between revisions
From MaRDI portal
Created a new Item |
Set profile property. |
||
| (One intermediate revision by one other user not shown) | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
| links / mardi / name | links / mardi / name | ||
Latest revision as of 02:51, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Distributions of occupation times of Brownian motion with drift |
scientific article |
Statements
Distributions of occupation times of Brownian motion with drift (English)
0 references
22 September 1999
0 references
Summary: The purpose of this paper is to present a survey of recent developments concerning the distributions of occupation times of Brownian motion and their applications in mathematical finance. The main result is a closed form version for Akahori's generalized arc-sine law which can be exploited for pricing some innovative types of options in the Black-Scholes model. Moreover a straightforward proof for Dassios' representation of the \(\alpha\)-quantile of Brownian motion with drift shall be provided.
0 references
quantile options
0 references
Black-Scholes model
0 references
survey
0 references
occupation times
0 references
Brownian motion
0 references
mathematical finance
0 references
Akahori's generalized arc-sine law
0 references
