Pages that link to "Item:Q1916232"
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The following pages link to Joint distribution of Brownian motion and its maximum, with a generalization to correlated BM and applications to barrier options (Q1916232):
Displaying 10 items.
- On the control of the difference between two Brownian motions: a dynamic copula approach (Q324995) (← links)
- On the control of the difference between two Brownian motions: an application to energy markets modeling (Q324996) (← links)
- On maximum increase and decrease of Brownian motion (Q841505) (← links)
- On the one-sided maximum of Brownian and random walk fragments and its applications to new exotic options called ``meander option'' (Q890603) (← links)
- On the correlation of the supremum and the infimum and of maximum gain and maximum loss of Brownian motion with drift (Q1946208) (← links)
- On the trivariate joint distribution of Brownian motion and its maximum and minimum (Q1950748) (← links)
- A note on the distribution of multivariate Brownian extrema (Q2019190) (← links)
- On capital allocation for a risk measure derived from ruin theory (Q2138618) (← links)
- Capacity expansion under a service-level constraint for uncertain demand with lead times (Q3621933) (← links)
- From equity to default correlation with taxes (Q5139238) (← links)
