Corridor options and arc-sine law.

DOI10.1214/aoap/1019487359zbMath1059.60085OpenAlexW2083660105MaRDI QIDQ1884834

Gianluca Fusai

Publication date: 27 October 2004

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1019487359

zbMATH Keywords

optionsLaplace transformFeynman-Kac formulaBlack-Scholes formulaarc-sine law

Mathematics Subject Classification ID

Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Volterra integral equations (45D05)

Related Items (14)

An occupation time related potential measure for diffusion processes ⋮ On the sojourn time of a generalized Brownian meander ⋮ Corridor options and arc-sine law. ⋮ Occupation times of Lévy-driven Ornstein-Uhlenbeck processes with two-sided exponential jumps and applications ⋮ Occupation times of hyper-exponential jump diffusion processes with application to price step options ⋮ How the sojourn time distributions of Brownian motion are affected by different forms of conditioning. ⋮ Multiple quadrature using highly oscillatory quadrature methods. ⋮ PRICING ASIAN OPTIONS IN AFFINE GARCH MODELS ⋮ Occupation times in the MAP risk model ⋮ Pricing Occupation-Time Options in a Mixed-Exponential Jump-Diffusion Model ⋮ American step options ⋮ Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates ⋮ Pricing and Hedging of Quantile Options in a Flexible Jump Diffusion Model ⋮ Valuing qualitative options with stochastic volatility

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