Pricing path-dependent options in a Black-Scholes market from the distribution of homogeneous Brownian functionals (Q4819432): Difference between revisions
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Revision as of 20:03, 6 June 2024
scientific article; zbMATH DE number 2103342
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing path-dependent options in a Black-Scholes market from the distribution of homogeneous Brownian functionals |
scientific article; zbMATH DE number 2103342 |
Statements
Pricing path-dependent options in a Black-Scholes market from the distribution of homogeneous Brownian functionals (English)
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24 September 2004
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Brownian motion
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Brownian supremum
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Brownian local time
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options with barriers and penalties
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