Some sequential boundary crossing results for geometric Brownian motion and their applications in financial engineering (Q420141): Difference between revisions
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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. | |||
| 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. / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60G15 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G80 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6036988 / rank | |||
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| Property / zbMATH Keywords | |||
geometric Brownian motion | |||
| Property / zbMATH Keywords: geometric Brownian motion / rank | |||
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| Property / zbMATH Keywords | |||
financial markets | |||
| Property / zbMATH Keywords: financial markets / rank | |||
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| Property / zbMATH Keywords | |||
boundary crossing distributions | |||
| Property / zbMATH Keywords: boundary crossing distributions / rank | |||
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Revision as of 21:29, 29 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Some sequential boundary crossing results for geometric Brownian motion and their applications in financial engineering |
scientific article |
Statements
Some sequential boundary crossing results for geometric Brownian motion and their applications in financial engineering (English)
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21 May 2012
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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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geometric Brownian motion
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financial markets
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boundary crossing distributions
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