On the one-sided maximum of Brownian and randomwalk fragments and its applications to new exotic options called “meander option”
نویسندگان
چکیده
We consider some distributions of one sided maxima of excursions and related variables for standard random walk and Brownian motion. We propose some new exotic options called meander options related to one of the fragments: the meander. We discuss the prices of meander options in a Black-Scholes market. 2000 AMS Subject classification: 60J55; 60J65; 91B28
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