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

DOI10.5402/2011/120253zbMath1241.60018OpenAlexW2057290022WikidataQ58688690 ScholiaQ58688690MaRDI QIDQ420141

Tristan Guillaume

Publication date: 21 May 2012

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

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

zbMATH Keywords

financial marketsgeometric Brownian motionboundary crossing distributions

Mathematics Subject Classification ID

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

Cites Work

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

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