Distributions of occupation times of Brownian motion with drift
Summary: The purpose of this paper is to present a survey of recent developments concerning the distributions of occupation times of Brownian motion and their applications in mathematical finance. The main result is a closed form version for Akahori's generalized arc-sine law which can be exploited for pricing some innovative types of options in the Black-Scholes model. Moreover a straightforward proof for Dassios' representation of the \(\alpha\)-quantile of Brownian motion with drift shall be provided.
scientific article; zbMATH DE number 1340876