The distribution of continuous time rank processes

DOI10.1007/4-431-34342-3_2MaRDI QIDQ3564003zbMATH OpenOpenAlexFDO

Authors Takahiko Fujita, Ryozo Miura

Publication date 2 June 2010

Published in Advances in Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/4-431-34342-3_2

zbMATH Keywords

black Scholes modelBrownian bridgeBrownian motionBrownian motion with driftrank processRank statistics

Mathematics Subject Classification ID

Brownian motion (60J65) Exact distribution theory in statistics (62E15) Order statistics; empirical distribution functions (62G30) Financial applications of other theories (91G80)

Recommendations

• 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
• Decomposition of order statistics of semimartingales using local times
• Distributions of occupation times of Brownian motion with drift
• Local times of ranked continuous semimartingales

Cited in

(4)

• Expected median of a shifted Brownian motion: Theory and calculations
• Distributional properties of continuous time processes: from CIR to bates
• Occupation time, quantile and rank of the Ornstein-Uhlenbeck process and their applications to mathematical finance
• Local times of ranked continuous semimartingales

This page was built for publication: The distribution of continuous time rank processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3564003)