Distributions of occupation times of Brownian motion with drift (Q1302365)
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scientific article; zbMATH DE number 1340876
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Distributions of occupation times of Brownian motion with drift |
scientific article; zbMATH DE number 1340876 |
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Distributions of occupation times of Brownian motion with drift (English)
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22 September 1999
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Summary: 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 \(\alpha\)-quantile of Brownian motion with drift shall be provided.
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quantile options
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Black-Scholes model
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survey
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occupation times
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Brownian motion
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mathematical finance
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Akahori's generalized arc-sine law
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