Distributions of occupation times of Brownian motion with drift
type: Item
instance of: scholarly article
title: Distributions of occupation times of Brownian motion with drift
zbMATH Open document ID: 0933.91016
DOI: 10.1155/S1173912699000036
author: Andreas Pechtl
published in: Journal of Applied Mathematics and Decision Sciences
publication date: 1999-09-22T00:00:00Z
full work available at URL: https://eudml.org/doc/120175
review text: 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.
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 1340876
zbMATH Keywords: quantile options
zbMATH Keywords: Black-Scholes model
zbMATH Keywords: survey
zbMATH Keywords: occupation times
zbMATH Keywords: Brownian motion
zbMATH Keywords: mathematical finance
zbMATH Keywords: Akahori's generalized arc-sine law
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 1340876