Double barrier hitting time distributions with applications to exotic options (Q1276457)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Double barrier hitting time distributions with applications to exotic options |
scientific article; zbMATH DE number 1246438
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Double barrier hitting time distributions with applications to exotic options |
scientific article; zbMATH DE number 1246438 |
Statements
Double barrier hitting time distributions with applications to exotic options (English)
0 references
27 April 1999
0 references
The author derives formulas for the Laplace transforms for random variables representing the first time when the Brownian motion with drift (or geometric Brownian motion) hits one of two barriers without hitting earlier the other. A technique developed by Gerber and Shiu is used. Applications to various exotic options whose payoffs are contingent on barrier hitting times (e.g., lookback spread calls and onion options) are discussed.
0 references
Brownian motion
0 references
barrier hitting probabilities
0 references
exotic options
0 references
Laplace transform
0 references
