Corridor options and arc-sine law. (Q1884834)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Corridor options and arc-sine law. |
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Corridor options and arc-sine law. (English)
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27 October 2004
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The paper contains new results on a generalization of the Lévy arc-sine law. The results concerning Brownian motion with drift below a given level and inside a given band are provided. In particular, new results about the distribution of the time spent by Brownian motion with a drift are obtained with the help of Laplace transform of the characteristic function. These results have financial applications to the pricing of corridor and hurdle options. By discussing the inversion problem, different numerical methods are compared.
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options
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Black-Scholes formula
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Feynman-Kac formula
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arc-sine law
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Laplace transform
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