Expected median of a shifted Brownian motion: Theory and calculations

DOI10.1111/MAFI.12343zbMath1522.91284OpenAlexW4225999393MaRDI QIDQ6054402

Vladimir V. Piterbarg

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

zbMATH Keywords

percentileBrownian motion with driftoccupation timeOISfallbackrisk-free ratesarc-sinefallback spreadLibor adjustment spreadRFRsonia

Mathematics Subject Classification ID

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)

Cites Work

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• Distributions of occupation times of Brownian motion with drift
• Some formulae for a new type of path-dependent option
• The distribution of the quantile of a Brownian motion with drift and the pricing of related path-dependent options
• 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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