Some sequential boundary crossing results for geometric Brownian motion and their applications in financial engineering (Q420141)
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scientific article; zbMATH DE number 6036988
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Some sequential boundary crossing results for geometric Brownian motion and their applications in financial engineering |
scientific article; zbMATH DE number 6036988 |
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Some sequential boundary crossing results for geometric Brownian motion and their applications in financial engineering (English)
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21 May 2012
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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.
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geometric Brownian motion
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financial markets
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boundary crossing distributions
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