Joint distribution of Brownian motion and its maximum, with a generalization to correlated BM and applications to barrier options

DOI10.1016/0167-7152(95)00092-5zbMath0854.60084OpenAlexW1997868088MaRDI QIDQ1916232

Chin-Shan Chuang

Publication date: 13 January 1997

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(95)00092-5

zbMATH Keywords

Brownian motionjoint distributionMarkov propertymaximum processbarrier options

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Decision theory (91B06) Extreme value theory; extremal stochastic processes (60G70) Brownian motion (60J65)

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On capital allocation for a risk measure derived from ruin theory ⋮ From equity to default correlation with taxes ⋮ Capacity expansion under a service-level constraint for uncertain demand with lead times

Cites Work

• Sequential analysis. Tests and confidence intervals
• Martingales and arbitrage in multiperiod securities markets
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