Pricing path-dependent options in a Black-Scholes market from the distribution of homogeneous Brownian functionals

DOI10.1239/jap/1077134664zbMath1049.60070MaRDI QIDQ4819432

Marc Yor, Takahiko Fujita, Frédérique Petit

Publication date: 24 September 2004

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/ff7d2cebc3350689bc96788cf27ef07a095df63b

zbMATH Keywords

Brownian motion; Brownian local time; Brownian supremum; options with barriers and penalties

Mathematics Subject Classification ID

91B70: Stochastic models in economics

60J65: Brownian motion

60J55: Local time and additive functionals

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