Maximum of Brownian motion and barrier option

zbMATH Open1199.91216MaRDI QIDQ3403189FDOQ3403189

Authors: Juanfang Liu, Lihua Han 

Publication date: 12 February 2010

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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)

Cited In (2)

• 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

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