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

DOI10.1239/jap/1077134664zbMath1049.60070OpenAlexW2007404966MaRDI QIDQ4819432

Takahiko Fujita, Marc Yor, 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 motionBrownian local timeBrownian supremumoptions with barriers and penalties

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Brownian motion (60J65) Local time and additive functionals (60J55)

Related Items (1)

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
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