Joint distribution of Brownian motion and its maximum, with a generalization to correlated BM and applications to barrier options
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Publication:1916232
DOI10.1016/0167-7152(95)00092-5zbMath0854.60084OpenAlexW1997868088MaRDI QIDQ1916232
Publication date: 13 January 1997
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-7152(95)00092-5
Applications of statistics to actuarial sciences and financial mathematics (62P05) Decision theory (91B06) Extreme value theory; extremal stochastic processes (60G70) Brownian motion (60J65)
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