On the one-sided maximum of Brownian and random walk fragments and its applications to new exotic options called ``meander option'' (Q890603)
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scientific article; zbMATH DE number 6506877
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the one-sided maximum of Brownian and random walk fragments and its applications to new exotic options called ``meander option'' |
scientific article; zbMATH DE number 6506877 |
Statements
On the one-sided maximum of Brownian and random walk fragments and its applications to new exotic options called ``meander option'' (English)
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10 November 2015
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standard random walk
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standard Brownian motion
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excursion
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meander option
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exotic option
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Black-Scholes market
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0.84686935
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0.83474964
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0.83371294
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0.82943153
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0.8274822
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