On the one-sided maximum of Brownian and random walk fragments and its applications to new exotic options called ``meander option
DOI10.1186/s40736-014-0002-0zbMath1386.91140OpenAlexW2094862433WikidataQ59394229 ScholiaQ59394229MaRDI QIDQ890603
Takahiko Fujita, Marc Yor, Yasuhiro Kawanishi
Publication date: 10 November 2015
Published in: Pacific Journal of Mathematics for Industry (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1186/s40736-014-0002-0
standard Brownian motionexotic optionexcursionBlack-Scholes marketmeander optionstandard random walk
Sums of independent random variables; random walks (60G50) Derivative securities (option pricing, hedging, etc.) (91G20)
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