scientific article; zbMATH DE number 1222789

MaRDI QIDQ4218372zbMATH OpenFDO

Authors Marc Yor, Marc Chesney, Helyette Geman, Monique Jeanblanc

Publication date 14 February 1999

zbMATH Keywords

geometric Brownian motionLaplace transformoption pricevaluation

Mathematics Subject Classification ID

Recommendations

• Brownian excursions and Parisian barrier options: a note
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Cited in

(4)

• The Istanbul option: Where the standard European option becomes Asian
• Pricing path-dependent options in a Black-Scholes market from the distribution of homogeneous Brownian functionals
• Implicit solution of uncertain volatility/transaction cost option pricing models with discretely observed barriers.
• On the one-sided maximum of Brownian and random walk fragments and its applications to new exotic options called ``meander option

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