Some applications of occupation times of Brownian motion with drift in mathematical finance

DOI10.1155/S1173912699000048zbMath0933.91017OpenAlexW2115539870MaRDI QIDQ1302366

Andreas Pechtl

Publication date: 22 September 1999

Published in: Journal of Applied Mathematics and Decision Sciences (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/120176

zbMATH Keywords

Black-Scholes modeloccupation timesBrownian motion driftcorridor optionsEuropean options markets

Mathematics Subject Classification ID

Related Items (6)

Occupation times of intervals until first passage times for spectrally negative Lévy processes ⋮ Optimal dividend strategy under Parisian ruin with affine penalty ⋮ A threshold-based risk process with a waiting period to pay dividends ⋮ Perturbed Brownian motion and its application to Parisian option pricing ⋮ Pricing and Hedging of Quantile Options in a Flexible Jump Diffusion Model ⋮ Valuing qualitative options with stochastic volatility

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