Some applications of occupation times of Brownian motion with drift in mathematical finance
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Publication:1302366
DOI10.1155/S1173912699000048zbMath0933.91017MaRDI QIDQ1302366
Publication date: 22 September 1999
Published in: Journal of Applied Mathematics and Decision Sciences (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/120176
Black-Scholes model; occupation times; Brownian motion drift; corridor options; European options markets
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