Pricing path-dependent options in a Black-Scholes market from the distribution of homogeneous Brownian functionals

DOI10.1239/jap/1077134664zbMath1049.60070MaRDI QIDQ4819432

Marc Yor, Takahiko Fujita, Frédérique Petit

Publication date: 24 September 2004

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/ff7d2cebc3350689bc96788cf27ef07a095df63b

zbMATH Keywords

Brownian motion; Brownian local time; Brownian supremum; options with barriers and penalties

Mathematics Subject Classification ID

91B70: Stochastic models in economics

60J65: Brownian motion

60J55: Local time and additive functionals

Related Items

Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)

Cites Work

• Functionals of Brownian meander and Brownian excursion
• The law of the maximum of a Bessel bridge
• Random Brownian scaling identities and splicing of Bessel processes
• The Feynman-Kac formula and decomposition of Brownian paths
• Path transformations of first passage bridges
• A cluster of great formulas
• The Brownian excursion multi-dimensional local time density
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item