Expected median of a shifted Brownian motion: Theory and calculations
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Publication:6054402
DOI10.1111/MAFI.12343zbMath1522.91284OpenAlexW4225999393MaRDI QIDQ6054402
Publication date: 28 September 2023
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/mafi.12343
percentileBrownian motion with driftoccupation timeOISfallbackrisk-free ratesarc-sinefallback spreadLibor adjustment spreadRFRsonia
Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
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- Some formulae for a new type of path-dependent option
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- A proof of Dassios' representation of the \(\alpha\)-quantile of Brownian motion with drift
- The distribution of continuous time rank processes
- The distribution of Brownian quantiles
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