Some sequential boundary crossing results for geometric Brownian motion and their applications in financial engineering (Q420141): Difference between revisions

Summary: This paper provides new explicit results for some boundary crossing distributions in the multidimensional geometric Brownian motion framework when the boundary is a piecewise constant function of time. Among their various possible applications, they enable accurate and efficient analytical valuation of a large number of option contracts traded in the financial markets belonging to the classes of barrier and look-back options.

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zbMATH Keywords

geometric Brownian motion

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financial markets

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boundary crossing distributions

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.5402/2011/120253

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cites work

Q5639122

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A stopped Brownian motion formula with two sloping line boundaries

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On the first hitting time and the last exit time for a Brownian motion to/from a moving boundary

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Pricing Options With Curved Boundaries<sup>1</sup>

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Q3150773

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valuation of options on joint minima and maxima

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Hitting Lines with Two-Dimensional Brownian Motion

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Double Lookbacks

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Valuation formulae for window barrier options

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Window double barrier options

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Pricing Multi-Asset Options with an External Barrier

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Multi‐asset barrier options and occupation time derivatives

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Q4433608

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Q5804485

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Martingales and stochastic integrals in the theory of continuous trading

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Identifiers

zbMATH Open document ID

1241.60018

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DOI

10.5402/2011/120253

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:420141

@@ Property / review text @@
+Summary: This paper provides new explicit results for some boundary crossing distributions in the multidimensional geometric Brownian motion framework when the boundary is a piecewise constant function of time. Among their various possible applications, they enable accurate and efficient analytical valuation of a large number of option contracts traded in the financial markets belonging to the classes of barrier and look-back options.
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G15
@@ Property / Mathematics Subject Classification ID: 60G15 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G80
@@ Property / Mathematics Subject Classification ID: 91G80 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6036988
@@ Property / zbMATH DE Number: 6036988 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+geometric Brownian motion
@@ Property / zbMATH Keywords: geometric Brownian motion / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+financial markets
@@ Property / zbMATH Keywords: financial markets / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+boundary crossing distributions
@@ Property / zbMATH Keywords: boundary crossing distributions / rank @@
+Normal rank
@@ Property / Wikidata QID @@
+Q58688690
@@ Property / Wikidata QID: Q58688690 / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.5402/2011/120253
+Normal rank
@@ Property / OpenAlex ID @@
+W2057290022
@@ Property / OpenAlex ID: W2057290022 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5639122
@@ Property / cites work: Q5639122 / rank @@
+Normal rank
@@ Property / cites work @@
+A stopped Brownian motion formula with two sloping line boundaries
+Normal rank
@@ Property / cites work @@
+On the first hitting time and the last exit time for a Brownian motion to/from a moving boundary
+Normal rank
@@ Property / cites work @@
+Pricing Options With Curved Boundaries<sup>1</sup>
+Normal rank
@@ Property / cites work @@
+Q3150773
@@ Property / cites work: Q3150773 / rank @@
+Normal rank
@@ Property / cites work @@
+valuation of options on joint minima and maxima
@@ Property / cites work: valuation of options on joint minima and maxima / rank @@
+Normal rank
@@ Property / cites work @@
+Hitting Lines with Two-Dimensional Brownian Motion
+Normal rank
@@ Property / cites work @@
+Double Lookbacks
@@ Property / cites work: Double Lookbacks / rank @@
+Normal rank
@@ Property / cites work @@
+Valuation formulae for window barrier options
@@ Property / cites work: Valuation formulae for window barrier options / rank @@
+Normal rank
@@ Property / cites work @@
+Window double barrier options
@@ Property / cites work: Window double barrier options / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing Multi-Asset Options with an External Barrier
+Normal rank
@@ Property / cites work @@
+Multi‐asset barrier options and occupation time derivatives
+Normal rank
@@ Property / cites work @@
+Q4433608
@@ Property / cites work: Q4433608 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5804485
@@ Property / cites work: Q5804485 / rank @@
+Normal rank
@@ Property / cites work @@
+Martingales and stochastic integrals in the theory of continuous trading
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:420141