A note on the distribution of multivariate Brownian extrema (Q2019190)
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English | A note on the distribution of multivariate Brownian extrema |
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A note on the distribution of multivariate Brownian extrema (English)
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27 March 2015
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Summary: This paper presents a closed-form solution for the joint probability of the endpoints and minimums of a multidimensional Wiener process for some correlation matrices. This is the only explicit expressions found in the literature for this joint probability. The analysis can only be carried out for special correlation structures as it is related to the fundamental regions of irreducible spherical simplexes generated by reflections and the link to the method of images. This joint distribution can be used in financial mathematics to obtain prices of credit or market related products in high dimension. The solution could be generalized to account for stochastic volatility and other stylized features of the financial markets.
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multivariate Brownian extrema
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multidimensional Wiener process
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correlation matrices
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method of images
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mathematical finance
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