scientific article; zbMATH DE number 1941897

MaRDI QIDQ4408951zbMATH OpenFDO

Authors Jirô Akahori

Publication date 29 June 2003

zbMATH Keywords

arc-sin lawBrownian quantileinverse local timepath-dependent optionWilliams formula

Mathematics Subject Classification ID

Local time and additive functionals (60J55) Brownian motion (60J65)

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Cited in

(1)

• The distribution of the quantile of a Brownian motion with drift and the pricing of related path-dependent options

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