Some sequential boundary crossing results for geometric Brownian motion and their applications in financial engineering (Q420141)

Summary: This paper provides new explicit results for some boundary crossing distributions in the multidimensional geometric Brownian motion framework when the boundary is a piecewise constant function of time. Among their various possible applications, they enable accurate and efficient analytical valuation of a large number of option contracts traded in the financial markets belonging to the classes of barrier and look-back options.