THE FEYNMAN–KAC FORMULA AND PRICING OCCUPATION TIME DERIVATIVES
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Publication:3523521
DOI10.1142/S021902499900011XzbMath1153.91513MaRDI QIDQ3523521
Publication date: 3 September 2008
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
60J65: Brownian motion
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Cites Work
- The Pricing of Options and Corporate Liabilities
- Martingales and arbitrage in multiperiod securities markets
- Mark Kac 1914--1984
- Some formulae for a new type of path-dependent option
- The distribution of the quantile of a Brownian motion with drift and the pricing of related path-dependent options
- A proof of Dassios' representation of the \(\alpha\)-quantile of Brownian motion with drift
- Brownian Excursions and Parisian Barrier Options
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- The distribution of Brownian quantiles