Some Sequential Boundary Crossing Results for Geometric Brownian Motion and Their Applications in Financial Engineering
Author
Source
Issue
Vol. 2011, Issue 2011 (31 Dec. 2011), pp.1-22, 22 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2011-07-11
Country of Publication
Egypt
No. of Pages
22
Main Subjects
Abstract EN
This paper provides new explicit results for some boundary crossing distributions in a multidimensional geometric Brownian motion framework when the boundary is a piecewise constant function of time.
Among their various possible applications, they enable accurate and efficient analytical valuation of a large number of option contracts traded in the financial markets belonging to the classes of barrier and look-back options.
American Psychological Association (APA)
Guillaume, Tristan. 2011. Some Sequential Boundary Crossing Results for Geometric Brownian Motion and Their Applications in Financial Engineering. ISRN Applied Mathematics،Vol. 2011, no. 2011, pp.1-22.
https://search.emarefa.net/detail/BIM-447223
Modern Language Association (MLA)
Guillaume, Tristan. Some Sequential Boundary Crossing Results for Geometric Brownian Motion and Their Applications in Financial Engineering. ISRN Applied Mathematics No. 2011 (2011), pp.1-22.
https://search.emarefa.net/detail/BIM-447223
American Medical Association (AMA)
Guillaume, Tristan. Some Sequential Boundary Crossing Results for Geometric Brownian Motion and Their Applications in Financial Engineering. ISRN Applied Mathematics. 2011. Vol. 2011, no. 2011, pp.1-22.
https://search.emarefa.net/detail/BIM-447223
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-447223