Corridor options and arc-sine law.
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Publication:1884834
DOI10.1214/aoap/1019487359zbMath1059.60085OpenAlexW2083660105MaRDI QIDQ1884834
Publication date: 27 October 2004
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoap/1019487359
Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Volterra integral equations (45D05)
Related Items (14)
An occupation time related potential measure for diffusion processes ⋮ On the sojourn time of a generalized Brownian meander ⋮ Corridor options and arc-sine law. ⋮ Occupation times of Lévy-driven Ornstein-Uhlenbeck processes with two-sided exponential jumps and applications ⋮ Occupation times of hyper-exponential jump diffusion processes with application to price step options ⋮ How the sojourn time distributions of Brownian motion are affected by different forms of conditioning. ⋮ Multiple quadrature using highly oscillatory quadrature methods. ⋮ PRICING ASIAN OPTIONS IN AFFINE GARCH MODELS ⋮ Occupation times in the MAP risk model ⋮ Pricing Occupation-Time Options in a Mixed-Exponential Jump-Diffusion Model ⋮ American step options ⋮ Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates ⋮ Pricing and Hedging of Quantile Options in a Flexible Jump Diffusion Model ⋮ Valuing qualitative options with stochastic volatility
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