Distributions of occupation times of Brownian motion with drift
نویسنده
چکیده
The purpose of this paper is to present a survey of recent developments concerning the distributions of occupation times of Brownian motion and their applications in mathematical finance. The main result is a closed form version for Akahori’s generalized arc-sine law which can be exploited for pricing some innovative types of options in the Black & Scholes model. Moreover a straightforward proof for Dassios’ representation of the α-quantile of Brownian motion with drift shall be provided.
منابع مشابه
Some applications of occupation times of Brownian motion with drift in mathematical finance
In the last few years new types of path-dependent options called corridor options or range options have become well-known derivative instruments in European options markets. Since the payout profiles of those options are based on occupation times of the underlying security the purpose of this paper is to provide closed form pricing formulae of Black & Scholes type for some significant represent...
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ورودعنوان ژورنال:
- JAMDS
دوره 3 شماره
صفحات -
تاریخ انتشار 1999