Arbitrage problems with reflected geometric Brownian motion

DOI10.1007/s00780-023-00525-xzbMath1530.91544arXiv2201.05312OpenAlexW4389993474MaRDI QIDQ6181515

Dean Buckner, Kevin Dowd, Hardy Hulley

Publication date: 2 January 2024

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2201.05312

zbMATH Keywords

local timearbitragecontingent claim valuationreflected geometric Brownian motion

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Financial markets (91G15)

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