Maximum of Brownian motion and barrier option

MaRDI QIDQ3403189zbMATH OpenFDO

Authors Juanfang Liu, Lihua Han

Publication date 12 February 2010

zbMATH Keywords

option pricingmartingale methodsbarrier optionsBrownian motion with drift

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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Cited in

(3)

• Barrier options pricing with joint distribution of Gaussian process and its maximum
• Exact simulation of final, minimal and maximal values of Brownian motion and jump-diffusions with applications to option pricing
• Joint distribution of Brownian motion and its maximum, with a generalization to correlated BM and applications to barrier options

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