Some sequential boundary crossing results for geometric Brownian motion and their applications in financial engineering

DOI10.5402/2011/120253MaRDI QIDQ420141zbMATH OpenOpenAlexWikidataFDO

Authors Tristan Guillaume

Publication date 21 May 2012

Published in ISRN Applied Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.5402/2011/120253

zbMATH Keywords

geometric Brownian motionfinancial marketsboundary crossing distributions

Mathematics Subject Classification ID

Gaussian processes (60G15) Financial applications of other theories (91G80)

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Cites work

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• A stopped Brownian motion formula with two sloping line boundaries
• Double lookbacks
• Hitting Lines with Two-Dimensional Brownian Motion
• Martingales and stochastic integrals in the theory of continuous trading
• Multi‐asset barrier options and occupation time derivatives
• On the first hitting time and the last exit time for a Brownian motion to/from a moving boundary
• Pricing Options With Curved Boundaries¹
• Pricing multi-asset options with an external barrier
• Valuation formulae for window barrier options
• Window double barrier options
• valuation of options on joint minima and maxima

Cited in

(2)

• On the number of deviations of geometric Brownian motion with drift from its extreme points with applications to transaction costs
• On the first exit time of geometric Brownian motion from stochastic exponential boundaries

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