On the one-sided maximum of Brownian and random walk fragments and its applications to new exotic options called ``meander option

DOI10.1186/s40736-014-0002-0zbMath1386.91140OpenAlexW2094862433WikidataQ59394229 ScholiaQ59394229MaRDI QIDQ890603

Takahiko Fujita, Marc Yor, Yasuhiro Kawanishi

Publication date: 10 November 2015

Published in: Pacific Journal of Mathematics for Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s40736-014-0002-0

zbMATH Keywords

standard Brownian motionexotic optionexcursionBlack-Scholes marketmeander optionstandard random walk

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Notes on a certain local time and excursions of simple symmetric random walks ⋮ \(\varepsilon\)-strong simulation of the convex minorants of stable processes and meanders

Cites Work

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• Probability laws related to the Jacobi theta and Riemann zeta functions, and Brownian excursions

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