Corridor options and arc-sine law.
type: Item
instance of: scholarly article
title: Corridor options and arc-sine law.
zbMATH Open document ID: 1059.60085
author: Gianluca Fusai
published in: The Annals of Applied Probability
publication date: 2004-10-27T00:00:00Z
review text: The paper contains new results on a generalization of the Lévy arc-sine law. The results concerning Brownian motion with drift below a given level and inside a given band are provided. In particular, new results about the distribution of the time spent by Brownian motion with a drift are obtained with the help of Laplace transform of the characteristic function. These results have financial applications to the pricing of corridor and hurdle options. By discussing the inversion problem, different numerical methods are compared.
Mathematics Subject Classification ID: 60J65
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 45D05
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 2110919
zbMATH Keywords: options
zbMATH Keywords: Black-Scholes formula
zbMATH Keywords: Feynman-Kac formula
zbMATH Keywords: arc-sine law
zbMATH Keywords: Laplace transform
reviewed by: Yuliya S. Mishura
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1214/aoap/1019487359
OpenAlex ID: W2083660105
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DOI: 10.1214/AOAP/1019487359
description: scientific article; zbMATH DE number 2110919